11 citations · 11 across the 2 of their papers we have counts for
2 papers
math.OC2024
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…
math.NA2014★ 11 cited
Discretization of functionals involving the Monge-Ampère operator
Jean-David Benamou, Guillaume Carlier, Quentin Mérigot +1
Gradient flows in the Wasserstein space have become a powerful tool in the analysis of diffusion equations, following the seminal work of Jordan, Kinderlehrer and Otto (JKO). The n…