Related papers: Equilibrium transport with time-inconsistent costs
We propose a discrete time formulation of the semi martingale optimal transport problembased on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by Guo et…
We compute exact second-order asymptotics for the cost of an optimal solution to the entropic optimal transport problem in the continuous-to-discrete, or semi-discrete, setting. In contrast to the discrete-discrete or continuous-continuous…
Monotone systems, also known as order-preserving or cooperative systems, are prevalent in models of engineering applications such as transportation and biological networks. In this paper, we investigate the problem of finding a control…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
Based on the reliability budget and percentile travel time (PTT) concept, a new travel time index named combined mean travel time (CMTT) under stochastic traffic network was proposed. CMTT here was defined as the convex combination of the…
We consider the optimal transport problem between multivariate Gaussian stationary stochastic processes. The transportation effort is the variance of the filtered discrepancy process. The main contribution of this technical note is to show…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
We define a wide class of Markovian load balancing networks of identical single-server infinite-buffer queues. These networks may implement classic parallel server or work stealing load balancing policies, and may be asymmetric, for…
We consider the model of a transportation problem with the objective of finding a minimum-cost transportation plan for shipping a given commodity from a set of supply centers to the customers. Since the exact values of supply and demand and…
We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference…
The dynamical formulation of optimal transport, also known as Benamou-Brenier formulation or Computational Fluid Dynamics formulation, amounts to write the optimal transport problem as the optimization of a convex functional under a PDE…
To improve the routing decisions of individual drivers and the management policies designed by traffic operators, one needs reliable estimates of travel time distributions. Since congestion caused by both recurrent patterns (e.g., rush…
Stochastic exclusion processes play an integral role in the physics of non-equilibrium statistical mechanics. These models are Markovian processes, described by a classical master equation. In this paper a quantum mechanical version of a…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
Vickrey's classic single-bottleneck departure time choice equilibrium model exhibits instability under many plausible day-to-day learning dynamics. Such instability is not observed in reality -- does this difference stem from the day-to-day…
Microreversibility rules the fluctuations of the currents flowing across open systems in nonequilibrium (or equilibrium) steady states. As a consequence, the statistical cumulants of the currents and their response coefficients at arbitrary…
The paper deals with the extremum seeking problem for a class of cost functions depending only on a part of state variables of a control system. This problem is related to the concept of partial asymptotic stability and analyzed by…
In recent years statistical physicists have developed {\it discrete} "particle-hopping" models of vehicular traffic, usually formulated in terms of {\it cellular automata}, which are similar to the microscopic models of interacting charged…
Optimal transport has been used extensively in resource matching to promote the efficiency of resources usages by matching sources to targets. However, it requires a significant amount of computations and storage spaces for large-scale…