Infinite-body optimal transport with Coulomb Cost

We introduce and analyze symmetric infinite-body optimal transport (OT) problems with cost function of pair potential form. We show that for a natural class of such costs, the optimizer is given by the independent product measure all of whose factors are given by the one-body marginal. This is in striking contrast to standard finite-body OT problems, in which the optimizers are typically highly correlated, as well as to infinite-body OT problems with Gangbo-Swiech cost. Moreover, by adapting a construction from the study of exchangeable processes in probability theory, we prove that the corresponding $N$-body OT problem is well approximated by the infinite-body problem. To our class belongs the Coulomb cost which arises in many-electron quantum mechanics. The optimal cost of the Coulombic N-body OT problem as a function of the one-body marginal density is known in the physics and quantum chemistry literature under the name SCE functional, and arises naturally as the semiclassical limit of the celebrated Hohenberg-Kohn functional. Our results imply that in the inhomogeneous high-density limit (i.e. $N\to\infty$ with arbitrary fixed inhomogeneity profile $\rho/N$), the SCE functional converges to the mean field functional. We also present reformulations of the infinite-body and N-body OT problems as two-body OT problems with representability constraints and give a dual characterization of representable two-body measures which parallels an analogous result by Kummer on quantum representability of two-body density matrices.Comment: 22 pages, significant revision

Multi-marginal optimal transport: theory and applications

Over the past five years, multi-marginal optimal transport, a generalization of the well known optimal transport problem of Monge and Kantorovich, has begun to attract considerable attention, due in part to a wide variety of emerging applications. Here, we survey this problem, addressing fundamental theoretical questions including the uniqueness and structure of solutions. The (partial) answers to these questions uncover a surprising divergence from the classical two marginal setting, and reflect a delicate dependence on the cost function. We go one to describe two applications of the multi-marginal problem.Comment: Typos corrected and minor changes to presentatio

A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod Embedding Problem (SEP). Instead, we provide a dual formulation which converts the superhedging problem into a continuous martingale optimal transportation problem. We then show that this formulation allows us to recover previously known results about lookback options. In particular, our methodology induces a new proof of the optimality of Az\'{e}ma-Yor solution of the SEP for a certain class of lookback options. Unlike the SEP technique, our approach applies to a large class of exotics and is suitable for numerical approximation techniques.Comment: Published in at http://dx.doi.org/10.1214/13-AAP925 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

60 years of cyclic monotonicity: a survey

The primary purpose of this note is to provide an instructional summary of the state of the art regarding cyclic monotonicity and related notions. We will also present how these notions are tied to optimality in the optimal transport (or Monge-Kantorovich) problem

Optimal transportation for a quadratic cost with convex constraints and applications

We prove existence of an optimal transport map in the Monge-Kantorovich problem associated to a cost $c(x,y)$ which is not finite everywhere, but coincides with $|x-y|^2$ if the displacement $y-x$ belongs to a given convex set $C$ and it is $+\infty$ otherwise. The result is proven for $C$ satisfying some technical assumptions allowing any convex body in $\R^2$ and any convex polyhedron in $\R^d$, $d>2$. The tools are inspired by the recent Champion-DePascale-Juutinen technique. Their idea, based on density points and avoiding disintegrations and dual formulations, allowed to deal with $L^\infty$ problems and, later on, with the Monge problem for arbitrary norms

A study of the dual problem of the one-dimensional L-infinity optimal transport problem with applications

The Monge-Kantorovich problem for the infinite Wasserstein distance presents several peculiarities. Among them the lack of convexity and then of a direct duality. We study in dimension 1 the dual problem introduced by Barron, Bocea and Jensen. We construct a couple of Kantorovich potentials which is "as less trivial as possible". More precisely, we build a potential which is non constant around any point that the plan which is locally optimal moves at maximal distance. As an application, we show that the set of points which are displaced to maximal distance by a locally optimal transport plan is minimal