Related papers: Remarks on multi-period martingale optimal transpo…
We study the Schr\"odinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by $\beta>0$, whose limiting regimes interpolate between the classical Schr\"odinger bridge, the Brenier-Strassen problem,…
We study the estimation of optimal transport (OT) maps between an arbitrary source probability measure and a log-concave target probability measure. Our contributions are twofold. First, we propose a new evolution equation in the set of…
We present a primal-dual dynamical formulation of the multi-marginal optimal transport problem for (semi-)convex cost functions. Even in the two-marginal setting, this formulation applies to cost functions not covered by the classical…
In its most general form, the optimal transport problem is an infinite-dimensional optimization problem, yet certain notable instances admit closed-form solutions. We identify the common source of this tractability as \textit{symmetry} and…
We consider anonymous multi-agent path finding (MAPF) where a set of robots is tasked to travel to a set of targets on a finite, connected graph. We show that MAPF can be cast as a special class of multi-marginal optimal transport (MMOT)…
In this work, we investigate an optimization problem over adapted couplings between pairs of real valued random variables, possibly describing random times. We relate those couplings to a specific class of causal transport plans between…
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
We shall present a measure theoretical approach for which together with the Kantorovich duality provide an efficient tool to study the optimal transport problem. Specifically, we study the support of optimal plans where the cost function…
Autonomous control systems use various sensors to decrease the amount of uncertainty under which they operate. While providing partial observation of the current state of the system, sensors require resources such as energy, time and…
Transit agencies have the opportunity to outsource certain services to established Mobility-on-Demand (MOD) providers. Such alliances can improve service quality, coverage, and ridership; reduce public sector costs and vehicular emissions;…
We study a martingale Schr\"odinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schr\"odinger potentials for this coupling. Namely, under…
Based on the multidimensional irreducible paving of De March & Touzi, we provide a multi-dimensional version of the quasi sure duality for the martingale optimal transport problem, thus extending the result of Beiglb\"ock, Nutz & Touzi.…
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod…
Optimal Transport has recently gained interest in machine learning for applications ranging from domain adaptation, sentence similarities to deep learning. Yet, its ability to capture frequently occurring structure beyond the "ground…
We study the multi-marginal partial optimal transport (POT) problem between $m$ discrete (unbalanced) measures with at most $n$ supports. We first prove that we can obtain two equivalence forms of the multimarginal POT problem in terms of…
Optimal Transport (OT) problem investigates a transport map that bridges two distributions while minimizing a given cost function. In this regard, OT between tractable prior distribution and data has been utilized for generative modeling…
In machine learning, Optimal Transport (OT) theory is extensively utilized to compare probability distributions across various applications, such as graph data represented by node distributions and image data represented by pixel…
We introduce the framework of quadratic-form optimal transport (QOT), whose transport cost has the form $\iint c\,\mathrm{d}\pi \otimes\mathrm{d}\pi$ for some coupling $\pi$ between two marginals. Interesting examples of quadratic-form…
We formulate and solve a class of finite-time transport and mixing problems in the set-oriented framework. The aim is to obtain optimal discrete-time perturbations in nonlinear dynamical systems to transport a specified initial measure on…
Distributionally robust optimization has been shown to offer a principled way to regularize learning models. In this paper, we find that Tikhonov regularization is distributionally robust in an optimal transport sense (i.e., if an adversary…