Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Adapted Wasserstein distance between the laws of SDEs
Faculty of Mathematics, University of Vienna, Austria.
KTH, Skolan för teknikvetenskap (SCI), Matematik (Inst.).
Department of Statistics, University of Klagenfurt, Austria.
2025 (engelsk)Inngår i: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 189, artikkel-id 104689Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
Elsevier BV , 2025. Vol. 189, artikkel-id 104689
Emneord [en]
Adapted Wasserstein distance, Bicausal optimal transport, Knothe–Rosenblatt rearrangement, Optimal couplings, Stochastic differential equations
HSV kategori
Identifikatorer
URN: urn:nbn:se:kth:diva-364462DOI: 10.1016/j.spa.2025.104689ISI: 001509539800002Scopus ID: 2-s2.0-105007059256OAI: oai:DiVA.org:kth-364462DiVA, id: diva2:1968278
Merknad

QC 20250617

Tilgjengelig fra: 2025-06-12 Laget: 2025-06-12 Sist oppdatert: 2025-12-08bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekstScopus

Person

Källblad Nordin, Sigrid

Søk i DiVA

Av forfatter/redaktør
Källblad Nordin, Sigrid
Av organisasjonen
I samme tidsskrift
Stochastic Processes and their Applications

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 113 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf