论文标题
一种大规模运输方法，以优化实际有价值的随机变量的适应耦合
A mass transport approach to the optimization of adapted couplings of real valued random variables
论文作者
论文摘要
在这项工作中，我们研究了一对真实有价值的随机变量之间的适应耦合，可能描述随机时间。我们将这些耦合与特定类别的因果运输计划联系起来，概率之间的概率是赋予过滤的真实数字集，为此，它们提供了特定的表示，这是由相应确定性运输计划的精确表征进行的。由此，在轻度假设下，可以获得此处研究的问题的存在。此外，在此明确的框架内提供了几个示例。
In this work, we investigate an optimization problem over adapted couplings between pairs of real valued random variables, possibly describing random times. We relate those couplings to a specific class of causal transport plans between probabilities on the set of real numbers endowed with a filtration, for which their provide a specific representation, which is motivated by a precise characterization of the corresponding deterministic transport plans. From this, under mild hypothesis, the existence of a solution to the problem investigated here is obtained. Furthermore, several examples are provided, within this explicit framework.
