A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper establishes general results in Lorentzian optimal transport theory.
problem Establishing strong duality and optimality conditions in Lorentzian optimal transport.
method Providing non-trivial assumptions on measures, characterizing optimality, and proving regularity results.
result Regularity results for c-convex functions and (weak) Kantorovich potentials do not extend to the Lorentzian setting, but under suitable assumptions, they are locally semconvex.
To improve the performance of classical generative adversarial network (GAN), Wasserstein generative adversarial networks (W-GAN) was developed as a Kantorovich dual formulation of the optimal transport (OT) problem using Wasserstein-1 distance. However, it was not clear how cycleGAN-type generative models can be deriv…
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.
We refine and generalize several interpolation inequalities bounding the Lp norm of a probability density with respect to the reference measure μ by its Sobolev norm and the Kantorovich distance to μ on a smooth weighted Riemannian manifold satisfying CD(0,∞) condition.
This paper presents a novel method to compute the exact Kantorovich-Wasserstein distance between a pair of d-dimensional histograms having n bins each. We prove that this problem is equivalent to an uncapacitated minimum cost flow problem on a (d+1)-partite graph with (d+1)n nodes and dndd+1 arcs,…
Optimizes risk measures given known marginal distributions of two unknown factors.
problem Determining an upper bound for spectral risk measures with unknown joint distribution.
method Introduces Maximum Spectral Measure (MSP) as a worst-case risk measure, formulated as an optimization problem with a more general objective function.
result Characterizes the continuity properties of the optimal value function and optimal solution set with respect to marginal distributions.
Unified framework for analyzing gradient flows of measures with exponential decay of entropy.
problem Analyzing exponential decay of entropy functionals in gradient flows of measures.
method Characterization of global exponential decay behaviors using Hellinger-Kantorovich geometry, shape-mass decomposition, and Polyak-Łojasiewicz-type inequalities.
result Unified theoretical framework for gradient flows with complete analysis of exponential decay behaviors.
Generative modelling is often cast as minimizing a similarity measure between a data distribution and a model distribution. Recently, a popular choice for the similarity measure has been the Wasserstein metric, which can be expressed in the Kantorovich duality formulation as the optimum difference of the expected value…
In this work, we show the intrinsic relations between optimal transportation and convex geometry, especially the variational approach to solve Alexandrov problem: constructing a convex polytope with prescribed face normals and volumes. This leads to a geometric interpretation to generative models, and leads to a novel …
Let M,N be two smooth compact hypersurfaces of Rn which bound strictly convex domains equipped with two absolutely continuous measures μ and ν (with respect to the volume measures of M and N). We consider the optimal transportation from μ to ν for the quadratic cost. Let $(φ:m \to \mathbb{R},ψ…
On a Riemannian manifold, lower Ricci curvature bounds are known to be characterized by geodesic convexity properties of various entropies with respect to the Kantorovich-Rubinstein-Wasserstein square distance from optimal transportation. These notions also make sense in a (nonsmooth) metric measure setting, where they…
The optimal transport problem is studied in the context of Lorentz-Finsler geometry. For globally hyperbolic Lorentz-Finsler spacetimes the first Kantorovich problem and the Monge problem are solved. Further the intermediate regularity of the transport paths is studied. These results generalize parts of Bertrand & Puel…
We study optimal transportation with the quadratic cost function in geodesic metric spaces satisfying suitable non-branching assumptions. We introduce and study the notions of slope along curves and along geodesics and we apply the latter to prove suitable generalizations of Brenier's theorem of existence of optimal ma…
In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that th…
Sorting an array is a fundamental routine in machine learning, one that is used to compute rank-based statistics, cumulative distribution functions (CDFs), quantiles, or to select closest neighbors and labels. The sorting function is however piece-wise constant (the sorting permutation of a vector does not change if th…