Causal transport plans and their Monge–Kantorovich problems
From MaRDI portal
Publication:4639179
DOI10.1080/07362994.2017.1422747zbMath1385.93087arXiv1303.6925OpenAlexW2963747259MaRDI QIDQ4639179
Publication date: 3 May 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.6925
Related Items
Approximation of martingale couplings on the line in the adapted weak topology ⋮ Measuring association with Wasserstein distances ⋮ Heterogeneous gradient flows in the topology of fibered optimal transport ⋮ Adapted topologies and higher rank signatures ⋮ Dynamic Cournot-Nash equilibrium: the non-potential case ⋮ Computational methods for adapted optimal transport ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Stability of the weak martingale optimal transport problem ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ A note on the adapted weak topology in discrete time ⋮ All adapted topologies are equal ⋮ On Bernstein processes generated by hierarchies of linear parabolic systems in \(\mathbb{R}^d\) ⋮ 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 ⋮ Estimating processes in adapted Wasserstein distance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Representation formula for the entropy and functional inequalities
- Optimal transportation under controlled stochastic dynamics
- A survey of the Schrödinger problem and some of its connections with optimal transport
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Duality for rectified cost functions
- Variational calculation of Laplace transforms via entropy on Wiener space and applications
- Weak and strong solutions of general stochastic models
- Martingale optimal transport and robust hedging in continuous time
- On the form of the large deviation rate function for the empirical measures of weakly interacting systems
- Invertibility of adapted perturbations of the identity on abstract Wiener space
- Entropy, invertibility and variational calculus of adapted shifts on Wiener space
- Gaussian measures in Banach spaces
- A variational representation for certain functionals of Brownian motion
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Monge-Kantorovitch measure transportation and Monge-Ampère equation on Wiener space
- Transportation cost for Gaussian and other product measures
- Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart
- Optimal transport and Skorokhod embedding
- The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
- Multistage Stochastic Optimization
- A Distance For Multistage Stochastic Optimization Models
- The Wasserstein distance and approximation theorems
- Optimal Transportation Problem by Stochastic Optimal Control
- Minimax Theorems
- Optimal Transport
