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math.PR2022★ 2 cited
Martingale Transports and Monge Maps
Marcel Nutz, Ruodu Wang, Zhenyuan Zhang
It is well known that martingale transport plans between marginals are never given by Monge maps -- with the understanding that the map is over the first marginal , or…
math.PR2022★ 2 cited
Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm
Marcel Nutz, Johannes Wiesel
We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Sch…