Related papers: Equilibrium transport with time-inconsistent costs
The basic problem of optimal transportation consists in minimizing the expected costs $\mathbb {E}[c(X_1,X_2)]$ by varying the joint distribution $(X_1,X_2)$ where the marginal distributions of the random variables $X_1$ and $X_2$ are…
We study a passenger-taxi double-ended queue with impatient passengers and two-point matching time in this paper. The system considered in this paper is different from those considered in the existing literature, which fully considers the…
Non-equilibrium transport properties of quantum systems have recently become experimentally accessible in a number of platforms in so-called full-counting experiments that measure transient and steady state non-equilibrium transport…
In recent years, a range of measures of partial stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. We assess these measures from intuitive, axiomatic,…
We consider a spatially distributed demand for electrical vehicle recharging, that must be covered by a fixed set of charging stations. Arriving EVs receive feedback on transport times to each station, and waiting times at congested ones,…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
We address the problem of identifying the dynamical law governing the evolution of a population of indistinguishable particles, when only aggregate distributions at successive times are observed. Assuming a Markovian evolution on a discrete…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…
Unlike equilibrium statistical mechanics, with its well-established foundations, a similar widely-accepted framework for non-equilibrium statistical mechanics (NESM) remains elusive. Here, we review some of the many recent activities on…
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…
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…
Many problems in geometric optics or convex geometry can be recast as optimal transport problems: this includes the far-field reflector problem, Alexandrov's curvature prescription problem, etc. A popular way to solve these problems…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We study the transport properties of nonautonomous chaotic dynamical systems over a finite time duration. We are particularly interested in those regions that remain coherent and relatively non-dispersive over finite periods of time,…
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…
Optimal transport is the problem of designing a joint distribution for two random variables with fixed marginals. In virtually the entire literature on this topic, the objective is to minimize expected cost. This paper is the first to study…
The moment measure problem consists in finding a convex function $\psi$ whose moment measure, i.e., the pushforward by $\nabla \psi$ of the measure with density $e^{-\psi(\,\cdot\,)}$, is prescribed. It is highly non-linear and less…
The accurate simulation of real--time quantum transport is notoriously difficult, requiring a consistent scheme to treat incoming and outgoing fluxes at the boundary of an open system. We demonstrate a method to converge non--equilibrium…