The Wasserstein space of stochastic processes
Wasserstein distance induces a natural Riemannian structure for the probabilities on the
Euclidean space. This insight of classical transport theory is fundamental for tremendous …
Euclidean space. This insight of classical transport theory is fundamental for tremendous …
General duality and dual attainment for adapted transport
We investigate duality and existence of dual optimizers for several adapted optimal transport
problems under minimal assumptions. This includes the causal and bicausal transport, the …
problems under minimal assumptions. This includes the causal and bicausal transport, the …
Representing General Stochastic Processes as Martingale Laws
Random variables $ X^ i $, $ i= 1, 2$ are'probabilistically equivalent'if they have the same
law. Moreover, in any class of equivalent random variables it is easy to select canonical …
law. Moreover, in any class of equivalent random variables it is easy to select canonical …
Bisimulation Metrics are Optimal Transport Distances, and Can be Computed Efficiently
We propose a new framework for formulating optimal transport distances between Markov
chains. Previously known formulations studied couplings between the entire joint distribution …
chains. Previously known formulations studied couplings between the entire joint distribution …
A Probabilistic View on the Adapted Wasserstein Distance
M Beiglböck, S Pflügl, S Schrott - arXiv preprint arXiv:2406.19810, 2024 - arxiv.org
Causal optimal transport and adapted Wasserstein distance have applications in different
fields from optimization to mathematical finance and machine learning. The goal of this …
fields from optimization to mathematical finance and machine learning. The goal of this …
Distributionally Robust Kalman Filter Fusion for Multi-sensor System
D Wang, W Li, J Lyu, Z Cao… - 2024 39th Youth …, 2024 - ieeexplore.ieee.org
The aim of this study is to develop a robust module through the integration of distributionally
robust Kalman filter with multi-sensor fusion. Leveraging the established reliability of the …
robust Kalman filter with multi-sensor fusion. Leveraging the established reliability of the …
Bisimulation Metrics are Optimal Transport Distances, and Can be Computed Efficiently
SC Oliveira, A Jonsson, G Neu, L Schwartz… - The Thirty-eighth Annual … - openreview.net
We propose a new framework for formulating optimal transport distances between Markov
chains. Previously known formulations studied couplings between the entire joint distribution …
chains. Previously known formulations studied couplings between the entire joint distribution …