On the Monge-Kantorovich problem with additional linear constraints
From MaRDI portal
(Redirected from Publication:268073)
Abstract: We consider the modified Monge-Kantorovich problem with additional restriction: admissible transport plans must vanish on some fixed functional subspace. Different choice of the subspace leads to different additional properties optimal plans need to satisfy. Our main results are quite general and include several important examples. In particular, they include Monge-Kantorovich problems in the classes of invariant measures and martingales. We formulate and prove a criterion for existence of a solution, a duality statement of the Kantorovich type, and a necessary geometric condition on a support of optimal measure, which is analogues to the usual -monotonicity.
Recommendations
- On a Kantorovich problem with a density constraint
- Solution of Some Transportation Problems with Relaxed or Additional Constraints
- Soluving the Monge and Monge-Kantorovich problems: theory and examples
- Optimal solutions of the Monge problem
- Characterization of optimal transport plans for the Monge-Kantorovich problem
Cites work
- scientific article; zbMATH DE number 824833 (Why is no real title available?)
- Duality theorems for marginal problems
- Duality theorems in ergodic transport
- Invariance properties of the Monge-Kantorovich mass transport problem
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Measure theory. Vol. I and II
- Model-independent bounds for option prices -- a mass transport approach
- On the Monge and Kantorovich problems for distributions of diffusion processes
- Optimal transportation of processes with infinite Kantorovich distance: independence and symmetry
- The Monge-Kantorovich problem: achievements, connections, and perspectives
- The Skorokhod embedding problem and model-independent bounds for option prices
- Virtual continuity of measurable functions of several variables and embedding theorems
Cited in
(45)- Robust bounds for derivative prices in Markovian models
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Monge-Kantorovich optimal transport through constrictions and flow-rate constraints
- Smooth feasible solutions to a dual Monge-Kantorovich problem and their application to the best approximation and mathematical economics problems
- Fine properties of the optimal Skorokhod embedding problem
- Finitely additive mass transportation
- Kantorovich problems under Young type constraints
- Tightening robust price bounds for exotic derivatives
- Kantorovich problems with a parameter and density constraints
- Convex duality in nonlinear optimal transport
- Existence, duality, and cyclical monotonicity for weak transport costs
- On a Kantorovich problem with a density constraint
- \(C\)-cyclical monotonicity as a sufficient criterion for optimality in the multimarginal Monge-Kantorovich problem
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- On intermediate marginals in martingale optimal transportation
- On the monotonicity principle of optimal Skorokhod embedding problem
- The multistochastic Monge-Kantorovich problem
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Bounds on multi-asset derivatives via neural networks
- Canonical supermartingale couplings
- Geometry of distribution-constrained optimal stopping problems
- Causal transport in discrete time and applications
- Solution of Some Transportation Problems with Relaxed or Additional Constraints
- Robust pricing and hedging of options on multiple assets and its numerics
- Transport problems and disintegration maps
- Invariance properties of the Monge-Kantorovich mass transport problem
- scientific article; zbMATH DE number 7625198 (Why is no real title available?)
- A non‐linear monotonicity principle and applications to Schrödinger‐type problems
- Applications of weak transport theory
- Nonpositive curvature, the variance functional, and the Wasserstein barycenter
- A strong duality principle for equivalence couplings and total variation
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- The geometry of multi-marginal Skorokhod embedding
- A multi-marginal c-convex duality theorem for martingale optimal transport
- A new class of costs for optimal transport planning
- Martingale Benamou-Brenier: a probabilistic perspective
- On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals
- An explicit solution for a multimarginal mass transportation problem
- Structure of optimal martingale transport plans in general dimensions
- Constrained optimal transport
- On ergodic decompositions related to the Kantorovich problem
- Geometry of vectorial martingale optimal transportations and duality
- Stability of martingale optimal transport and weak optimal transport
- Robust matching for teams
- Optimal martingale transport between radially symmetric marginals in general dimensions
This page was built for publication: On the Monge-Kantorovich problem with additional linear constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q268073)
