Multicausal transport: barycenters and dynamic matching
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
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2024
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| _version_ | 1866915124668792832 |
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| author | Acciaio, Beatrice Kršek, Daniel Pammer, Gudmund |
| author_facet | Acciaio, Beatrice Kršek, Daniel Pammer, Gudmund |
| contents | We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for stochastic processes with respect to causal and bicausal optimal transport, and study its connection to specific multicausal transport problems. Attainment and duality of the aforementioned problems are provided. As an application, we study a matching problem in a dynamic setting where agent types evolve over time. We link this to a causal barycenter problem and thereby show existence of equilibria. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_12748 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Multicausal transport: barycenters and dynamic matching Acciaio, Beatrice Kršek, Daniel Pammer, Gudmund Probability General Economics Economics Optimization and Control We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for stochastic processes with respect to causal and bicausal optimal transport, and study its connection to specific multicausal transport problems. Attainment and duality of the aforementioned problems are provided. As an application, we study a matching problem in a dynamic setting where agent types evolve over time. We link this to a causal barycenter problem and thereby show existence of equilibria. |
| title | Multicausal transport: barycenters and dynamic matching |
| topic | Probability General Economics Economics Optimization and Control |
| url | https://arxiv.org/abs/2401.12748 |