Robust Risk Management via Multi-marginal Optimal Transport
Author:
Funder
>Natural Sciences and Engineering Research Council of Canada
Centre National de la Recherche Scientifique
Agence Nationale de la Recherche
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10957-024-02438-x.pdf
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3. Benamou, J.-D., Carlier, G., Cuturi, M., Nenna, L., Peyré, G.: Iterative Bregman projections for regularized transportation problems. SIAM J. Sci. Comput. 37(2), A1111–A1138 (2015)
4. Brenier, Y.: The least action principle and the related concept of generalized flows for incompressible perfect fluids. J. Amer. Math. Soc. 2(2), 225–255 (1989)
5. Brenier, Y.: Polar factorization and monotone rearrangement of vector-valued functions. Comm. Pure Appl. Math. 44(4), 375–417 (1991)
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