Existence, duality, and cyclical monotonicity for weak transport costs

DOI10.1007/s00526-019-1624-yzbMath1469.60125arXiv1809.05893OpenAlexW2982967720WikidataQ126851982 ScholiaQ126851982MaRDI QIDQ2334532

Mathias Beiglböck, Gudmund Pammer, J. Backhoff-Veraguas

Publication date: 7 November 2019

Published in: Calculus of Variations and Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05893

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Variational principles in infinite-dimensional spaces (58E30) Duality theory (optimization) (49N15)

Related Items (32)

Approximation of martingale couplings on the line in the adapted weak topology ⋮ Stability of entropic optimal transport and Schrödinger bridges ⋮ Unbalanced optimal total variation transport problems and generalized Wasserstein barycenters ⋮ Weak monotone rearrangement on the line ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Weak Optimal Transport with Unnormalized Kernels ⋮ Lipschitz continuity of the Wasserstein projections in the convex order on the line ⋮ On Radon barycenters of measures on spaces of measures ⋮ Stability of the weak martingale optimal transport problem ⋮ Quantization and martingale couplings ⋮ A note on the adapted weak topology in discrete time ⋮ The nonlinear Kantorovich transportation problem with nonconvex costs ⋮ On Kantorovich problems with a parameter ⋮ Unnamed Item ⋮ All adapted topologies are equal ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ From Hopf--Lax Formula to Optimal Weak Transfer Plan ⋮ Transport inequalities for random point measures ⋮ Transport plans with domain constraints ⋮ Computational methods for martingale optimal transport problems ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Applications of weak transport theory ⋮ Shadow couplings ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Existence of solutions to the nonlinear Kantorovich transportation problem ⋮ Nonlinear Kantorovich problems with a parameter ⋮ Estimating processes in adapted Wasserstein distance ⋮ Stability of martingale optimal transport and weak optimal transport

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