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Monge-Kantorovich transportation problem and optimal couplings

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Publication:2466441
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zbMath1132.60019MaRDI QIDQ2466441

Ludger Rüschendorf

Publication date: 14 January 2008

Published in: Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)


zbMATH Keywords

stochastic equationduality theoryrecursive algorithmpolar factorization\(c\)-convexityminimal metric


Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Numerical optimization and variational techniques (65K10) Optimality conditions and duality in mathematical programming (90C46) Systems of functional equations and inequalities (39B72)


Related Items (8)

Improved algorithms for computing worst value-at-risk ⋮ The boundary method for semi-discrete optimal transport partitions and Wasserstein distance computation ⋮ Distribution functions, extremal limits and optimal transport ⋮ Structural results on convexity relative to cost functions ⋮ Robust price bounds for the forward starting straddle ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Optimal vector quantization in terms of Wasserstein distance ⋮ Tightening robust price bounds for exotic derivatives




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