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Adapted Wasserstein distance between the laws of SDEs
Faculty of Mathematics, University of Vienna, Austria.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
Department of Statistics, University of Klagenfurt, Austria.
2025 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 189, article id 104689Article in journal (Refereed) Published
Abstract [en]

We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous coupling between these laws. The proof of this result is based on time-discretisation and reveals a novel connection between the synchronous coupling and the celebrated discrete-time Knothe–Rosenblatt rearrangement. We also prove a result on equality of topologies restricted to a certain subset of laws of continuous-time processes. We complement our main results with examples showing how the optimal coupling may change in path-dependent and multidimensional settings.

Place, publisher, year, edition, pages
Elsevier BV , 2025. Vol. 189, article id 104689
Keywords [en]
Adapted Wasserstein distance, Bicausal optimal transport, Knothe–Rosenblatt rearrangement, Optimal couplings, Stochastic differential equations
National Category
Mathematical Analysis Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-364462DOI: 10.1016/j.spa.2025.104689Scopus ID: 2-s2.0-105007059256OAI: oai:DiVA.org:kth-364462DiVA, id: diva2:1968278
Note

QC 20250617

Available from: 2025-06-12 Created: 2025-06-12 Last updated: 2025-06-17Bibliographically approved

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Källblad Nordin, Sigrid

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