On optimal transport under the causality constraint

Julio Backhoff (Universität Wien)
Thursday, November 19, 2015 - 4:15pm
HU Berlin, Rudower Chaussee 25, Room 1.115

In this talk we shall examine causal transports and the associated optimal transportation problem under the causality constraint (Pc) introduced by Rémi Lasalle. Loosely speaking, causal transports are a relaxation of adapted processes in the same sense as Kantorovich transport plans are the extension of Monge-type transport maps. We will establish a simple primal-dual picture of both (Pc) and the so-called bicausal transportation problem (whereby causality runs in both directions) in euclidean space or equiv. for discrete-time processes. Together with this, we provide a dynamic programming principle which allows us to identify optimal (bi)causal transports under given conditions. If time permits, potential applications of the theory will be presented.