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math.PR2020
Bicausal Optimal Transport for Markov Chains via Dynamic Programming
Vrettos Moulos
In this paper we study the bicausal optimal transport problem for Markov chains, an optimal transport formulation suitable for stochastic processes which takes into consideration t…
math.PR2019
Optimal Chernoff and Hoeffding Bounds for Finite State Markov Chains
Vrettos Moulos, Venkat Anantharam
This paper develops an optimal Chernoff type bound for the probabilities of large deviations of sums where is a real-valued function and $(X_k)_{k \in \m…