6 papers
First-order -expansion for entropic optimal transport with non-degenerate costs
Luca Nenna, Brendan Pass, Paul Pegon +1
Entropy-regularized optimal transport (EOT) has become a key tool in optimal transport, providing both theoretical insight and efficient computation via the Sinkhorn algorithm. We…
Remarks on multi-period martingale optimal transport
Brendan Pass, Joshua Hiew
We study the structural properties of multi-period martingale optimal transport (MOT). We develop new tools to address these problems, and use them to prove several uniqueness and…
Characterizing and computing solutions to regularized semi-discrete optimal transport via an ordinary differential equation
Luca Nenna, Daniyar Omarov, Brendan Pass
This paper investigates the semi-discrete optimal transport (OT) problem with entropic regularization. We characterize the solution using a governing, well-posed ordinary different…
Data denoising with self consistency, variance maximization, and the Kantorovich dominance
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
We introduce a new framework for data denoising, partially inspired by martingale optimal transport. For a given noisy distribution (the data), our approach involves finding the cl…
An ordinary differential equation for entropic optimal transport and its linearly constrained variants
Joshua Zoen-Git Hiew, Luca Nenna, Brendan Pass
We characterize the solution to the entropically regularized optimal transport problem by a well-posed ordinary differential equation (ODE). Our approach works for discrete margina…
Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $…