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Stability, discretization, and optimality of continuous-time causal optimal transport

Jiang, Yifan et al.
arXiv (All) · Papers
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49q2260g22probability
We prove stability of continuous-time causal and bicausal optimal transport problems when both marginals converge in adapted Wasserstein distance along common vanishing time shifts. The marginal laws, filtrations, and costs may all vary, while the limit remains the original causal or bicausal transp
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