Actuarial Science and Financial Mathematics seminar: Ludovic Tangpi

Ludovic Tangpi
Princeton University

Room: M3 3127

Non-entropic weak Schrödinger bridges

We will introduce a dynamic formulation of divergence-regularized optimal transport with weak targets on the path space. In our formulation, the classical relative entropy penalty is replaced by a general convex divergence, and terminal constraints are imposed in a weak sense. We establish well-posedness and a convex dual formulation, together with a dual existence result and explicit structural characterizations of primal and dual optimizers. This talk is based on join works with Camilo Hernández (USC).