Related papers: Localisation for constrained transports II: applic…
Integration against, and hence sampling from, high-dimensional probability distributions is of essential importance in many application areas and has been an active research area for decades. One approach that has drawn increasing attention…
We study the log-concave measures, their characterization via the Pr\'ekopa-Leindler property and also define a subset of it whose elements are called super log-concave measures which have the property of satisfying a logarithmic Sobolev…
Adapted or causal transport theory aims to extend classical optimal transport from probability measures to stochastic processes. On a technical level, the novelty is to restrict to couplings which are bicausal, i.e. satisfy a property which…
Probabilistic frames are a generalization of finite frames into the Wasserstein space of probability measures with finite second moment. We introduce new probabilistic definitions of duality, analysis, and synthesis and investigate their…
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [21]. We present a new perspective of this result using the…
This note contains a short discussion on the sufficiency of finite optimality in martingale transport. It is shown that finitely minimal martingale measures are solutions of the martingale transport problem when the cost function is upper…
We consider an optimal transport problem on the unit simplex whose solutions are given by gradients of exponentially concave functions and prove two main results. First, we show that the optimal transport is the large deviation limit of a…
Some classical mass transportation problems are investigated in a finitely additive setting. Let $\Omega=\prod_{i=1}^n\Omega_i$ and $\mathcal{A}=\otimes_{i=1}^n\mathcal{A}_i$, where $(\Omega_i,\mathcal{A}_i,\mu_i)$ is a ($\sigma$-additive)…
We give a sufficient and necessary condition for a probability measure $\mu$ on the real line to satisfy the logarithmic Sobolev inequality for convex functions. The condition is expressed in terms of the unique left-continuous and…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…
In several applications, including imaging of deformable objects while in motion, simultaneous localization and mapping, and unlabeled sensing, we encounter the problem of recovering a signal that is measured subject to unknown…
Optimal transport (OT) provides effective tools for comparing and mapping probability measures. We propose to leverage the flexibility of neural networks to learn an approximate optimal transport map. More precisely, we present a new and…
In recent years, the use of entropy-regularized optimal transport with $L^p$-type entropies has become increasingly popular. In this setting, the solutions are sparse, in the sense that the support of the regularized optimal coupling,…
We derive distributional limits for empirical transport distances between probability measures supported on countable sets. Our approach is based on sensitivity analysis of optimal values of infinite dimensional mathematical programs and a…
A new pairwise cost function is proposed for the optimal transport barycenter problem, adopting the form of the minimal action between two points, with a Lagrangian that takes into account an underlying probability distribution. Under this…
Topic of the thesis is a theoretical description of the ultracold atomic gases in one- and two-dimensional optical lattices in the presence of the disorder leading to the Anderson localization. The disorder is created by interaction of the…
This is a continuation of our previous work entitled \enquote{Alternating Proximity Mapping Method for Convex-Concave Saddle-Point Problems}, in which we proposed the alternating proximal mapping method and showed convergence results on the…
This work presents a unified framework that combines global approximations with locally built models to handle challenging nonconvex and nonsmooth composite optimization problems, including cases involving extended real-valued functions. We…
In this paper, we give a new characterization of the cut locus of a point on a compact Riemannian manifold as the zero set of the optimal transport density solution of the Monge-Kantorovich equations, a PDE formulation of the optimal…
Potts models, which can be used to analyze dependent observations on a lattice, have seen widespread application in a variety of areas, including statistical mechanics, neuroscience, and quantum computing. To address the intractability of…