Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866909926551453696 |
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| author | Guo, Ivan Nilsson, Severin Wiesel, Johannes |
| author_facet | Guo, Ivan Nilsson, Severin Wiesel, Johannes |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_21287 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Dynamic characterization of barycentric optimal transport problems and their martingale relaxation Guo, Ivan Nilsson, Severin Wiesel, Johannes Probability Optimization and Control Mathematical Finance 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. |
| title | Dynamic characterization of barycentric optimal transport problems and their martingale relaxation |
| topic | Probability Optimization and Control Mathematical Finance |
| url | https://arxiv.org/abs/2511.21287 |