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math.PR2024
Multicausal transport: barycenters and dynamic matching
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Su…
math.PR2024
General duality and dual attainment for adapted transport
Daniel Kršek, Gudmund Pammer
We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, t…
math.PR2023
Randomisation with moral hazard: a path to existence of optimal contracts
Daniel Kršek, Dylan Possamaï
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and…