Optimal solutions of multivariate coupling problems

DOI10.4064/AM-23-3-325-338MaRDI QIDQ4863904zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf

Publication date 1 September 1996

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219135

zbMATH Keywords

nonconvex optimizationoptimal transportationduality theoryexplicit criterionc-convex functionsmultivariate optimal coupling problems

Mathematics Subject Classification ID

Convex programming (90C25) Measures of association (correlation, canonical correlation, etc.) (62H20) Duality theory (optimization) (49N15) Probabilistic measure theory (60A10) Sufficiency and information (62B99) Numerical methods in optimal control (49M99)

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Cited in

(27)

• Duality for optimal couplings in free probability
• Construction of the Optimal Joint Distribution of Two Random Variables
• General construction and classes of explicit \(L^1\)-optimal couplings
• Graph-structured tensor optimization for nonlinear density control and mean field games
• scientific article; zbMATH DE number 1405947 (Why is no real title available?)
• Optimal solution of a Monge-Kantorovitch transportation problem
• A remark on the optimal transport between two probability measures sharing the same copula
• On \(c\)-optimal random variables
• Optimal coupling of multivariate distributions and stochastic processes
• On the \(n\)-coupling problem
• A note on the deficit of the logarithmic Sobolev inequality
• A theorem of stochastic representation related to Monge-Kantorovich problem
• Optimal couplings are totally positive and more
• Central limit theorems for general transportation costs
• The Monge problem in Banach spaces
• Optimal transportation, topology and uniqueness
• Multimarginal Optimal Transport with a Tree-Structured Cost and the Schrödinger Bridge Problem
• Multivariate portfolio choice via quantiles
• scientific article; zbMATH DE number 1163798 (Why is no real title available?)
• Caractérisation d'une solution optimale au problème de Monge-Kantorovitch
• Measurability of optimal transportation and strong coupling of martingale measures
• Optimal transport and Skorokhod embedding
• Geometry of distribution-constrained optimal stopping problems
• Computation of robust option prices via structured multimarginal martingale optimal transport
• The Monge problem for strictly convex norms in R^d
• A characterization of random variables with minimum L^ 2-distance
• The geometry of optimal transportation

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