Thu, 25 Jan 2024
Rui Lim
Mathematical Insitute, Oxford

Causal optimal transport and the related adapted Wasserstein distance have recently been popularized as a more appropriate alternative to the classical Wasserstein distance in the context of stochastic analysis and mathematical finance. In this talk, we establish some interesting consequences of causality for transports on the space of continuous functions between the laws of stochastic differential equations.

We first characterize bicausal transport plans and maps between the laws of stochastic differential equations. As an application, we are able to provide necessary and sufficient conditions for bicausal transport plans to be induced by bi-causal maps. Analogous to the classical case, we show that bicausal Monge transports are dense in the set of bicausal couplings between laws of SDEs with unique strong solutions and regular coefficients.

 This is a joint work with Rama Cont.

Further Information

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