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Multicausal transport: barycenters and dynamic matching
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Date
2025-09-30
Publication Type
Journal Article
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yes
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Abstract
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for stochastic processes with respect to causal and bicausal optimal transport and study its connection to specific multicausal transport problems. Attainment and duality of the aforementioned problems are provided. As an application, we study a matching problem in a dynamic setting where agent types evolve over time. We link this to a causal barycenter problem and thereby show existence of equilibria.
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published
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Book title
Journal / series
Volume
16 (3)
Pages / Article No.
1104 - 1138
Publisher
SIAM
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Multicausal optimal transport; barycenters of processes; dynamic matching models
Organisational unit
09727 - Acciaio, Beatrice / Acciaio, Beatrice
02000 - Dep. Mathematik / Dep. of Mathematics