most citedDiscretization of functionals involving the Monge-Ampère operator

11 citations · 11 across the 2 of their papers we have counts for

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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…