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math.PR2020
Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market
Beatrice Acciaio, Mathias Beiglboeck, Gudmund Pammer
We consider a model-independent pricing problem in a fixed-income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to ch…
math.PR2020
Applications of weak transport theory
Julio Daniel Backhoff-Veraguas, Gudmund Pammer
Motivated by applications to geometric inequalities, Gozlan, Roberto, Samson, and Tetali introduced a transport problem for `weak' cost functionals. Basic results of optimal transp…