Causal Transport in Discrete Time and Applications

DOI10.1137/16M1080197zbMath1387.90168arXiv1606.04062OpenAlexW2962731848MaRDI QIDQ4602344

Julio Backhoff, A. Zalashko, Mathias Beiglböck, Yi-Qing Lin

Publication date: 10 January 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.04062

zbMATH Keywords

causalityoptimal transporttransport inequalitiesnested distanceKnothe-Rosenblatt rearrangementgeneral transport costs

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stochastic programming (90C15) Functional inequalities, including subadditivity, convexity, etc. (39B62)

Related Items (18)

A dynamic programming approach to distribution-constrained optimal stopping ⋮ Weak monotone rearrangement on the line ⋮ Dynamic Cournot-Nash equilibrium: the non-potential case ⋮ Computational methods for adapted optimal transport ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Fundamental properties of process distances ⋮ A note on the adapted weak topology in discrete time ⋮ All adapted topologies are equal ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Optimal transport and barycenters for dendritic measures ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Applications of weak transport theory ⋮ Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting ⋮ Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Estimating processes in adapted Wasserstein distance ⋮ Stability of martingale optimal transport and weak optimal transport

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