Related papers: Equilibrium transport with time-inconsistent costs
Standard economic dispatch problems that consider line losses are linear approximations of a non-convex economic dispatch problem formulated by fixing voltage magnitudes and assuming the decoupling of real and reactive power. This paper…
In this paper, we study the optimal transport problem induced by separable cost functions. In this framework, transportation can be expressed as the composition of two lower-dimensional movements. Through this reformulation, we prove that…
We give a characterization of optimal transport plans for a variant of the usual quadratic transport cost introduced in [33]. Optimal plans are composition of a deterministic transport given by the gradient of a continuously differentiable…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…
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 study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, the problem can be embedded in a Markovian framework. Using…
We derive limit distributions for certain empirical regularized optimal transport distances between probability distributions supported on a finite metric space and show consistency of the (naive) bootstrap. In particular, we prove that the…
The investigation of the phenomenon of dephasing assisted quantum transport, which happens when the presence of dephasing benefits the efficiency of this process, has been mainly focused on Markovian scenarios associated with constant and…
We establish the validity of asymptotic limits for the general transportation problem between random i.i.d. points and their common distribution, with respect to the squared Euclidean distance cost, in any dimension larger than three.…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
We consider a model-independent pricing problem in a fixed-income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to characterize the extremal models for the pricing of caplets on…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
We consider a largely untapped potential for the improvement of traffic networks that is rooted in the inherent uncertainty of travel times. Travel times are subject to stochastic uncertainty resulting from various parameters such as…
This paper deals with the existence of optimal transport maps for some optimal transport problems with a convex but non strictly convex cost. We give a decomposition strategy to address this issue. As part of our strategy, we have to treat…
We introduce a new variant of the weak optimal transport problem where mass is distributed from one space to the other through unnormalized kernels. We give sufficient conditions for primal attainment and prove a dual formula for this…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
We prove a central limit theorem for the entropic transportation cost between subgaussian probability measures, centered at the population cost. This is the first result which allows for asymptotically valid inference for entropic optimal…
In machine learning and computer vision, optimal transport has had significant success in learning generative models and defining metric distances between structured and stochastic data objects, that can be cast as probability measures. The…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…