3 papers
math.OC2024
Entropic Semi-Martingale Optimal Transport
Jean-David Benamou, Guillaume Chazareix, Marc Hoffmann +2
Entropic Optimal Transport (EOT), also referred to as the Schrödinger problem, seeks to find a random processes with prescribed initial/final marginals and with minimal relative e…
math.OC2024
From entropic transport to martingale transport, and applications to model calibration
Jean-David Benamou, Guillaume Chazareix, Grégoire Loeper
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…
math.OC2024
From entropic transport to martingale transport, and applications to model calibration
Jean-David Benamou, Guillaume Chazareix, Grégoire Loeper
We propose a discrete time formulation of the semi martingale optimal transport problembased on multi-marginal entropic transport. This approach offers a new way to formulate and s…