Causal Transport in Discrete Time and Applications
From MaRDI portal
Publication:4602344
DOI10.1137/16M1080197zbMath1387.90168arXiv1606.04062MaRDI QIDQ4602344
Julio Backhoff, A. Zalashko, Mathias Beiglböck, Yi-Qing Lin
Publication date: 10 January 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.04062
causality; optimal transport; transport inequalities; nested distance; Knothe-Rosenblatt rearrangement; general transport costs
60G70: Extreme value theory; extremal stochastic processes
90C15: Stochastic programming
39B62: Functional inequalities, including subadditivity, convexity, etc.
Related Items
Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting, Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective, Adapted Wasserstein distances and stability in mathematical finance, Optimal transport and barycenters for dendritic measures, Applications of weak transport theory, Estimating processes in adapted Wasserstein distance, Stability of martingale optimal transport and weak optimal transport, Weak monotone rearrangement on the line, Fundamental properties of process distances, All adapted topologies are equal, Martingale Benamou-Brenier: a probabilistic perspective, Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization, Existence, duality, and cyclical monotonicity for weak transport costs
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