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In this paper, we introduce a dynamical urban planning model. This leads us to study a system of nonlinear equations coupled through multi-marginal optimal transport problems. A simple case consists in solving two equations coupled through…
We study a doubly nonlinear parabolic problem arising in the modeling of gas transport in pipelines. Using convexity arguments and relative entropy estimates we show uniform bounds and exponential stability of discrete approximations…
Following Arnold's geometric interpretation, the Euler equations of an incompressible fluid moving in a domain D are known to be the optimality equation of the minimizing geodesic problem along the group of orientation and volume preserving…
In this work, we develop a collection of novel methods for the entropic-regularised optimal transport problem, which are inspired by existing mirror descent interpretations of the Sinkhorn algorithm used for solving this problem. These are…
We use the vorticity transportation equation as the start point--with the help of stream function for two-dimensional planar incompressible flows--to obtain exact solutions that characterize evolution and dynamics of the flows. These…
We study the optimal transport problem in the Euclidean space where the cost function is given by the value function associated with a Linear Quadratic minimization problem. Under appropriate assumptions, we generalize Brenier's Theorem…
We consider a class of convex optimization problems modelling temporal mass transport and mass change between two given mass distributions (the so-called dynamic formulation of unbalanced transport), where we focus on those models for which…
We investigate the problem of optimal transport in the so-called Kantorovich form, i.e. given two Radon measures on two compact sets, we seek an optimal transport plan which is another Radon measure on the product of the sets that has these…
We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of…
We present a primal--dual memory efficient algorithm for solving a relaxed version of the general transportation problem. Our approach approximates the original cost function with a differentiable one that is solved as a sequence of…
We study the stochastic transport equation with globally $\beta$-H\"older continuous and bounded vector field driven by a non-degenerate pure-jump L\'evy noise of $\alpha$-stable type. Whereas the deterministic transport equation may lack…
Optimal transport has recently started to be successfully employed to define misfit or loss functions in inverse problems. However, it is a problem intrinsically defined for positive (probability) measures and therefore strategies are…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17],…
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result…
We prove existence of an optimal transport map in the Monge-Kantorovich problem associated to a cost $c(x,y)$ which is not finite everywhere, but coincides with $|x-y|^2$ if the displacement $y-x$ belongs to a given convex set $C$ and it is…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
We present here a criterion to conclude that an abstract SPDE posseses a unique maximal strong solution, which we apply to a three dimensional Stochastic Navier-Stokes Equation. Inspired by the work of [Kato and Lai,1984] in the…
We introduce a new non-linear optimal transport formulation for a pair of probability measures on $\mathbb{R}^d$ sharing a common barycentre, in which admissible transference plans satisfy two martingale-type constraints. This bi-martingale…
We study the computational complexity of the optimal transport problem that evaluates the Wasserstein distance between the distributions of two K-dimensional discrete random vectors. The best known algorithms for this problem run in…