Oberseminar Stochastik: Mathias Beiglböck (Universität Wien): The Fundamental Theorem of Weak Optimal Transport
Wednesday, 04.12.2024 16:00 im Raum SRZ 216
Over the past decades, optimal transport theory has found broad applications across both applied and theoretical fields. A central role is played by the so-called fundamental theorem of optimal transport, which provides a precise link between primal and dual optimizers.
Recently, nonlinear extensions such as entropically regularized optimal transport and martingale optimal transport have gained significant popularity. Gozlan, Roberto, Samson, and Tetali developed weak transport theory as a sufficiently general framework to formulate these problems within a coherent setting. We show that the principal results of optimal transport, such as existence, duality, and specifically the fundamental theorem, extend to the nonlinear case. In particular, we provide a unified derivation for the optimizers in the entropic transport problem, the Brenier-Strassen theorem, and the Martingale version of the Benamou-Brenier problem.
Angelegt am 27.11.2024 von Claudia Giesbert
Geändert am 02.12.2024 von Claudia Giesbert
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