Related papers: Relaxed multi-marginal costs and quantization effe…
We develop a synthetic, variational framework for deriving comparison principles in infinite-dimensional Banach spaces. Unlike traditional approaches that rely on the regularity of minimizers and Euler--Lagrange equations, our method…
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
We analyze optimal transport problems with additional entropic cost evaluated along curves in the Wasserstein space which join two probability measures $m_0,m_1$. The effect of the additional entropy functional results into an elliptic…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
A probabilistic method for solving the Monge-Kantorovich mass transport problem on $R^d$ is introduced. A system of empirical measures of independent particles is built in such a way that it obeys a doubly indexed large deviation principle…
We study a generalization of the multi-marginal optimal transport problem, which has no fixed number of marginals $N$ and is inspired of statistical mechanics. It consists in optimizing a linear combination of the costs for all the possible…
In this paper, we investigate Monge-Kantorovich problems for which the absolute continuity of marginals is relaxed. For $X,Y\subseteq\mathbb{R}^{n+1}$ let $(X,\mathcal{B}_X,\mu)$ and $(Y,\mathcal{B}_Y,\nu)$ be two Borel probability spaces,…
Multimarginal optimal transport (MOT) has gained increasing attention in recent years, notably due to its relevance in machine learning and statistics, where one seeks to jointly compare and align multiple probability distributions. This…
We introduce a constrained optimal transport problem where origins $x$ can only be transported to destinations $y\geq x$. Our statistical motivation is to describe the sharp upper bound for the variance of the treatment effect $Y-X$ given…
We consider the problem of optimal exchange which can be formulated as a kind of optimal transportation problem. The existence of an optimal solution and a duality theorem for the optimal exchange problem are proved in case of completely…
We prove uniqueness and Monge solution results for multi-marginal optimal transportation problems with a certain class of surplus functions; this class arises naturally in multi-agent matching problems in economics. This result generalizes…
We develop a general condition on the cost function which is sufficient to imply Monge solution and uniqueness results in the multi-marginal optimal transport problem. This result unifies and generalizes several results in the rather…
In this work, we construct a novel numerical method for solving the multi-marginal optimal transport problems with Coulomb cost. This type of optimal transport problems arises in quantum physics and plays an important role in understanding…
We study a multi-marginal optimal transportation problem. Under certain conditions on the cost function and the first marginal, we prove that the solution to the relaxed, Kantorovich version of the problem induces a solution to the Monge…
We prove the Duality Theorems for the stochastic optimal transportation problems with a convex cost function without a regularity assumption that is often supposed in the proof of the lower semicontinuity of an action integral. In our new…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
We prove existence and uniqueness results for solutions to a class of optimal transportation problems with infinitely many marginals, supported on the real line. We also provide a characterization of the solution with an explicit formula.…