On a class of optimal transportation problems with infinitely many marginals (Q2855140)
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scientific article; zbMATH DE number 6219433
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| English | On a class of optimal transportation problems with infinitely many marginals |
scientific article; zbMATH DE number 6219433 |
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24 October 2013
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optimal transportation
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infinitely many marginals
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stochastic processes
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Feynman-Kac formula
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stochastic rearrangement inequality
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phase-space bounds
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On a class of optimal transportation problems with infinitely many marginals (English)
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One defines and one investigates a new optimal transportation problem of Monge-Kantorovich type, with infinitely many marginals. It is shown that, under the convexity assumption, the solution exists and is unique; and the latter is step by step constructed. This result may be useful in the study of parabolic PDEs and in mathematical finance.
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