Entropy, energy, and optimal couplings on Wiener space
By Hans Föllmer
Appears in collection : Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance / Avancées en contrôle stochastique et arrêt optimal avec applications à l'économie et à la finance
We discuss couplings on Wiener space that are optimal with respect to different cost functionals and derive corresponding versions of Talagrand's transport inequality.
