A Benamou-Brenier formulation of martingale optimal transport
From MaRDI portal
Publication:2325339
DOI10.3150/18-BEJ1069zbMath1428.62526arXiv1707.01493MaRDI QIDQ2325339
Dario Trevisan, Martin Huesmann
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.01493
porous medium equation; Fokker-Planck equations; martingale problem; martingale optimal transport; Strassen's theorem
60G44: Martingales with continuous parameter
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
49Q22: Optimal transportation
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