Constrained Optimal Transport
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Date
2018-03
Publication Type
Journal Article
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yes
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Abstract
The classical duality theory of Kantorovich (C R (Doklady) Acad Sci URSS (NS) 37:199–201, 1942) and Kellerer (Z Wahrsch Verw Gebiete 67(4):399–432, 1984) for classical optimal transport is generalized to an abstract framework and a characterization of the dual elements is provided. This abstract generalization is set in a Banach lattice X with an order unit. The problem is given as the supremum over a convex subset of the positive unit sphere of the topological dual of X and the dual problem is defined on the bi-dual of X . These results are then applied to several extensions of the classical optimal transport.
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published
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227 (3)
Pages / Article No.
929 - 965
Publisher
Springer
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Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
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It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
Funding
153555 - Martingale Optimal Transport and Robust Hedging (SNF)
Related publications and datasets
Is new version of: http://hdl.handle.net/20.500.11850/123927