12 citations · 48 across the 12 of their papers we have counts for
5 papers · 1 filter
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…
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 en…
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…
An entropy minimization approach to second-order variational mean-field games
Jean-David Benamou, Guillaume Carlier, Simone Di Marino +1
We propose a new viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We show the equivalence of such mean-field games with a relative entropy minimi…
Second order models for optimal transport and cubic splines on the Wasserstein space
Jean-David Benamou, Thomas Gallouët, François-Xavier Vialard
On the space of probability densities, we extend the Wasserstein geodesics to the case of higher-order interpolation such as cubic spline interpolation. After presenting the natura…