Evolution of the Wasserstein distance between the marginals of two Markov processes

DOI10.3150/17-BEJ934zbMath1428.60124arXiv1606.02994OpenAlexW2963001534MaRDI QIDQ1708973

Benjamin Jourdain, Jacopo Corbetta, Aurélien Alfonsi

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.02994

zbMATH Keywords

birth and death processesWasserstein distanceoptimal transportpiecewise deterministic Markov processespure jump Markov processes

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Convergence of probability measures (60B10) Jump processes on discrete state spaces (60J74)

Related Items (4)

A large scale analysis of unreliable stochastic networks ⋮ Lower bound for the coarse Ricci curvature of continuous-time pure-jump processes ⋮ Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process ⋮ SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS

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