Reconstruction by optimal transport: applications in cosmology and finance
Apparaît également dans la collection : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques
Following the seminal work by Benamou and Brenier on the time continuous formulation of the optimal transport problem, we show how optimal transport techniques can be used in various areas, ranging from "the reconstruction problem" cosmology to a problem of volatility calibration in finance.