相关论文: Canonical Supermartingale Couplings
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.
In this short note, we show that given a cost function $c$, any coupling $\pi$ of two probability measures where the second is a discrete measure can be associated to a certain bipartite graph containing a perfect matching, based on the…
The question of which costs admit unique optimizers in the Monge-Kantorovich problem of optimal transportation between arbitrary probability densities is investigated. For smooth costs and densities on compact manifolds, the only known…
We study solutions to the multi-marginal Monge-Kantorovich problem which are concentrated on several graphs over the first marginal. We first present two general conditions on the cost function which ensure, respectively, that any solution…
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its…
The quadratically regularized optimal transport problem is empirically known to have sparse solutions: its optimal coupling $\pi_{\varepsilon}$ has sparse support for small regularization parameter $\varepsilon$, in contrast to entropic…
We exhibit a surprising relationship between elliptic gradient systems of PDEs, multi-marginal Monge-Kantorovich optimal transport problem, and multivariable Hardy-Littlewood inequalities. We show that the notion of an orientable elliptic…
A fundamental concept in optimal transport is c-cyclical monotonicity: it allows to link the optimality of transport plans to the geometry of their support sets. Recently, related concepts have been successfully applied in the…
We consider the theoretical properties of a model which encompasses bi-partite matching under transferable utility on the one hand, and hedonic pricing on the other. This framework is intimately connected to tripartite matching problems…
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically…
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison of the relevant random outcomes to the respective benchmarks…
Optimal transport (OT) theory underlies many emerging machine learning (ML) methods nowadays solving a wide range of tasks such as generative modeling, transfer learning and information retrieval. These latter works, however, usually build…
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result…
Given a stochastic state process $(X_t)_t$ and a real-valued submartingale cost process $(S_t)_t$, we characterize optimal stopping times $\tau$ that minimize the expectation of $S_\tau$ while realizing given initial and target…
We study optimization problems in which a linear functional is maximized over probability measures that are dominated by a given measure according to an integral stochastic order in an arbitrary dimension. We show that the following four…
The Gromov--Wasserstein problem is a non-convex optimization problem over the polytope of transportation plans between two probability measures supported on two spaces, each equipped with a cost function evaluating similarities between…
It is known that the Azema-Yor solution to the Skorokhod embedding problem maximizes the law of the running maximum of an uniformly integrable martingale with given terminal value distribution. Recently this optimality property has been…
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.
Under a complete Ricci flow, we construct a coupling of two Brownian motion such that their $\mathcal{L}_0$-distance is a supermartingale. This recovers a result of Lott [J. Lott, Optimal transport and Perelman's reduced volume, Calc. Var.…
We introduce and study the permanence properties of the class of linear transfers between probability measures. This class contains all cost minimizing mass transports, but also martingale mass transports, the Schrodinger bridge associated…