19 citations · 32 across the 11 of their papers we have counts for
5 papers · 1 filter
An ODE characterisation of multi-marginal optimal transport with pairwise cost functions
Luca Nenna, Brendan Pass
The purpose of this paper is to introduce a new numerical method to solve multi-marginal optimal transport problems with pairwise interaction costs. The complexity of multi-margina…
Robust risk management via multi-marginal optimal transport
Hamza Ennaji, Quentin Mérigot, Luca Nenna +1
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but wh…
A note on Cournot-Nash equilibria and Optimal Transport between unequal dimensions
Luca Nenna, Brendan Pass
This note is devoted to study a class of games with a continuum of players for which Cournot-Nash equilibria can be obtained by minimisation of some cost related to Optimal Transpo…
Grand-Canonical Optimal Transport
Simone Di Marino, Mathieu Lewin, Luca Nenna
We study a generalization of the multi-marginal optimal transport problem, which has no fixed number of marginals and is inspired of statistical mechanics. It consists in optim…
Transport type metrics on the space of probability measures involving singular base measures
Luca Nenna, Brendan Pass
We develop the theory of a metric, which we call the -based Wasserstein metric and denote by , on the set of probability measures on a domain $X \subseteq \…