Related papers: Martingale Transports and Monge Maps
We investigate the approximation of Monge--Kantorovich problems on general compact metric spaces, showing that optimal values, plans and maps can be effectively approximated via a fully discrete method. First we approximate optimal values…
We introduce and analyze a statistical estimator for Monge transport maps: solutions to the quadratic optimal transport problem in Euclidean space. For absolutely continuous source measures, this map is uniquely defined as the gradient of a…
In many scientific fields imaging is used to relate a certain physical quantity to other dependent variables. Therefore, images can be considered as a map from a real-world coordinate system to the non-negative measurements being acquired.…
We prove that if $\Omega\subset \mathbb{R}^{n+1}$ is a (not necessarily strictly) convex, $C^1$ domain, and $\mu$ and $\bar{\mu}$ are probability measures absolutely continuous with respect to surface measure on $\partial \Omega$, with…
We determine the optimal structure of couplings for the \emph{Martingale transport problem} between radially symmetric initial and terminal laws $\mu, \nu$ on $\R^d$ and show the uniqueness of optimizer. Here optimality means that such…
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financial mathematics, which…
Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex order dominating original probability measure is compactly…
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its…
We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field of research is called model-independent finance and has…
We study the estimation of optimal transport (OT) maps between an arbitrary source probability measure and a log-concave target probability measure. Our contributions are twofold. First, we propose a new evolution equation in the set of…
Consider the problem of optimally matching two measures on the circle, or equivalently two periodic measures on the real line, and suppose the cost of matching two points satisfies the Monge condition. We introduce a notion of locally…
A natural and important question in multi-marginal optimal transport is whether the \emph{Monge ansatz} is justified; does there exist a solution of Monge, or deterministic, form? We address this question for the quadratic cost when each…
We consider the modified Monge-Kantorovich problem with additional restriction: admissible transport plans must vanish on some fixed functional subspace. Different choice of the subspace leads to different additional properties optimal…
Loosely speaking, causal transport plans are a relaxation of adapted processes in the same sense as Kantorovich transport plans extend Monge-type transport maps. The corresponding causal version of the transport problem has recently been…
A remarkable connection between optimal design and Monge transport was initiated in the years 1997 in the context of the minimal elastic compliance problem and where the euclidean metric cost was naturally involved. In this paper we present…
Many numerical and learning algorithms rely on the solution of the Monge-Kantorovich problem and Wasserstein distances, which provide appropriate distributional metrics. While the natural approach is to treat the problem as an…
We approach the problem of constructing a quantum analogue of the immensely fruitful classical transport cost theory of Monge from a new angle. Going back to the original motivations, by which the transport is a bilinear function of a mass…
Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in…
A result of Hohloch links the theory of integer partitions with the Monge formulation of the optimal transport problem, giving the optimal transport map between (Young diagrams of) integer partitions and their corresponding symmetric…
This note exposes the differential topology and geometry underlying some of the basic phenomena of optimal transportation. It surveys basic questions concerning Monge maps and Kantorovich measures: existence and regularity of the former,…