Bicausal optimal transport for SDEs with irregular coefficients
Michaela Szölgyenyi (University of Klagenfurt, Department of Statistics), Benjamin A. Robinson
We solve an optimal transport problem under probabilistic constraints, where the marginals are laws of solutions of stochastic differential equations with irregular, that is non-globally Lipschitz continuous coefficients. Numerical methods are employed as a theoretical tool to bound the adapted Wasserstein distance. This opens the door for computing the adapted Wasserstein distance in a simple way.