TY - UNPB
T1 - Multicausal transport: barycenters and dynamic matching
AU - Acciaio, Beatrice
AU - Kršek, Daniel
AU - Pammer, Gudmund
PY - 2024
Y1 - 2024
N2 - We introduce a multivariate version of adapted transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for stochastic processes with respect to causal and bicausal optimal transport, and study its connection to specific multicausal transport problems. Attainment and duality of the aforementioned problems are provided. As an application, we study a matching problem in a dynamic setting where agents' types evolve over time. We link this to a causal barycenter problem and thereby show existence of equilibria.
AB - We introduce a multivariate version of adapted transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for stochastic processes with respect to causal and bicausal optimal transport, and study its connection to specific multicausal transport problems. Attainment and duality of the aforementioned problems are provided. As an application, we study a matching problem in a dynamic setting where agents' types evolve over time. We link this to a causal barycenter problem and thereby show existence of equilibria.
UR - https://arxiv.org/abs/2401.12748
U2 - 10.48550/ARXIV.2401.12748
DO - 10.48550/ARXIV.2401.12748
M3 - Preprint
BT - Multicausal transport: barycenters and dynamic matching
PB - arXiv
ER -