Related papers: Equilibrium transport with time-inconsistent costs
Denied boarding in congested transit systems induces queuing delays and departure-time shifts that can reshape passenger flows. Correctly modeling these responses in transit assignment hinges on the enforcement of two priority rules:…
Optimal transport maps define a one-to-one correspondence between probability distributions, and as such have grown popular for machine learning applications. However, these maps are generally defined on empirical observations and cannot be…
We tackle the problem of trajectory planning in an environment comprised of a set of obstacles with uncertain time-varying locations. The uncertainties are modeled using widely accepted Gaussian distributions, resulting in a…
We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…
The stability of solutions to optimal transport problems under variation of the measures is fundamental from a mathematical viewpoint: it is closely related to the convergence of numerical approaches to solve optimal transport problems and…
Imbalance in covariate distributions leads to biased estimates of causal effects. Weighting methods attempt to correct this imbalance but rely on specifying models for the treatment assignment mechanism, which is unknown in observational…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We study the equilibrium behavior in a multi-commodity selfish routing game with many types of uncertain users where each user over- or under-estimates their congestion costs by a multiplicative factor. Surprisingly, we find that…
The theory of optimal transportation has developed into a powerful and elegant framework for comparing probability distributions, with wide-ranging applications in all areas of science. The fundamental idea of analyzing probabilities by…
The evolution of physical systems are often modeled by simple Markovian processes. When settled into stationary states, the probability distributions of such systems are time independent, by definition. However, they do not necessarily fall…
One way to analyze complicated non-autonomous flows is through trying to understand their transport behavior. In a quantitative, set-oriented approach to transport and mixing, finite time coherent sets play an important role. These are…
In this note, we extend the regularity theory for monotone measure-preserving maps, also known as optimal transports for the quadratic cost optimal transport problem, to the case when the support of the target measure is an arbitrary convex…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Bj\"ork and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control. A nonrandomized Borel measurable Markov equilibrium…
In a recent paper [M. Colangeli \textit{et al.}, J.\ Stat.\ Mech.\ P04021, (2011)] it was argued that the Fluctuation Relation for the phase space contraction rate $\Lambda$ could suitably be extended to non-reversible dissipative systems.…
Thermodynamics serves as a universal means for studying physical systems from an energy perspective. In recent years, with the establishment of the field of stochastic and quantum thermodynamics, the ideas of thermodynamics have been…
In compact settings, the convergence rate of the empirical optimal transport cost to its population value is well understood for a wide class of spaces and cost functions. In unbounded settings, however, hitherto available results require…
We consider the problem of finding an optimal transport plan between an absolutely continuous measure $\mu$ on $\mathcal{X} \subset \mathbb{R}^d$ and a finitely supported measure $\nu$ on $\mathbb{R}^d$ when the transport cost is the…