The structure of martingale Benamou$-$Brenier in $\mathbb{R}^{d}$

arXiv (Cornell University)(2023)

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摘要
In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. Stretched Brownian motion provides an analogue for the martingale version of this problem. In this article we provide a characterization in terms of gradients of convex functions, similar to the characterization of optimizers in the classical transport problem for quadratic distance cost.
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martingale
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