Solution of Some Transportation Problems with Relaxed or Additional Constraints

DOI10.1137/S0363012991221365MaRDI QIDQ4299283zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf, Svetlozar T. Rachev

Publication date 10 October 1994

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012991221365

zbMATH Keywords

Dobrushin theorem on optimal couplingsKantorovich-Rubinstein problemMonge-Kantorovich problems with constraintstotal variationtransportation problem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Recommendations

• Mass transportation problems with capacity constraints
• On the Monge-Kantorovich problem with additional linear constraints
• Multivariate Monge-Kantorovich transportation problem
• scientific article; zbMATH DE number 1285879
• Optimal transportation with capacity constraints

Cited in

(17)

• Improved Fréchet-Hoeffding bounds on d-copulas and applications in model-free finance
• Perspectives of Monge properties in optimization
• The directional optimal transport
• Copulas with given values on the tails
• Model-free bounds on value-at-risk using extreme value information and statistical distances
• Detection of arbitrage opportunities in multi-asset derivatives markets
• On the Monge-Kantorovich problem with additional linear constraints
• Floating point method for solving transportation problems with additional constraints
• Solvability of transportation problems with exclusions
• A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
• Numerical solutions of the mass transfer problem
• scientific article; zbMATH DE number 67673 (Why is no real title available?)
• Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
• Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
• Multivariate shuffles and approximation of copulas
• Generalized Hoeffding-Fréchet functionals and mass transportation
• VaR bounds for joint portfolios with dependence constraints

This page was built for publication: Solution of Some Transportation Problems with Relaxed or Additional Constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4299283)