Causal transport plans and their Monge–Kantorovich problems

By R. Lassalle. 2013

59 citations recorded by the source corpus.

ABSTRACT This paper investigates causal optimal transport problems. Within this framework, primal attainments and dual formulations are obtained under standard hypothesis, for the related variational problems. Causal transport plans are intrinsically related to martingales by a preserving property. Specific concretizations yield primal problems equivalent to several classical problems of stochastic control, and of stochastic calculus; trivial filtrations yield usual problems of optimal transport.

Subfields: Applied Mathematics, Geometry and Topology

View Paper: https://www.semanticscholar.org/paper/9142225cb7a661c93043327b267a5e4f1333e3d9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Daniel Bartl
2. Julio Backhoff-Veraguas
3. Mathias Beiglbock
4. Manu Eder
5. Gudmund Pammer
6. Nizar Touzi

In Geometry and Topology

1. Mathias Beiglbock
2. Julio Backhoff-Veraguas
3. Daniel Bartl
4. Manu Eder

Citations in the corpus

• Adapted Wasserstein distances and stability in mathematical finance (2019, background): “Following Lassalle [45], we call such couplings (bi-)causal.”
• All adapted topologies are equal (2019, background): “The term causal was introduced by Lassalle [46], who considers a causal transport problem in which the usual set of couplings is replaced by the set of causal couplings.”