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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| Accès en ligne: | https://arxiv.org/abs/2412.00030 |
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| _version_ | 1866912138541400064 |
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| author | Benamou, Jean-David Chazareix, Guillaume Loeper, Grégoire |
| author_facet | Benamou, Jean-David Chazareix, Guillaume Loeper, Grégoire |
| contents | We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17], using a multi-marginal extension of Sinkhorn algorithm as in [6, 10, 7]. When the time step goes to zero we recover, as detailed in the companion paper [8], a continuous semi-martingale process, solution to a semi-martingale optimal transport problem, with a cost function involving the so-called 'specific entropy' , introduced in [13], see also [12] and [2]. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_00030 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | From entropic transport to martingale transport, and applications to model calibration Benamou, Jean-David Chazareix, Guillaume Loeper, Grégoire Optimization and Control We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17], using a multi-marginal extension of Sinkhorn algorithm as in [6, 10, 7]. When the time step goes to zero we recover, as detailed in the companion paper [8], a continuous semi-martingale process, solution to a semi-martingale optimal transport problem, with a cost function involving the so-called 'specific entropy' , introduced in [13], see also [12] and [2]. |
| title | From entropic transport to martingale transport, and applications to model calibration |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2412.00030 |