Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
By: Ivan Guo, Severin Nilsson, Johannes Wiesel
Potential Business Impact:
Finds new ways to move data smoothly.
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juillet has a dynamic analogue. We also investigate a martingale relaxation of this problem, and relate it to the martingale Benamou-Brenier formula of Backhoff-Veraguas, Beiglböck, Huesmann and Källblad.
Similar Papers
Non-conservative optimal transport
Portfolio Management
Helps money managers move money better.
Vector valued optimal transport: from dynamic to static formulations
Analysis of PDEs
Unifies math for complex problems, speeding up calculations.
Generalized Optimal Transport
Econometrics
Finds hidden patterns in complex data.