Analytical Approach To Continuous-Time Causal Optimal Transport
- Series
- PDE Seminar
- Time
- Tuesday, December 2, 2025 - 15:30 for 1 hour (actually 50 minutes)
- Location
- Skiles 154
- Speaker
- Ibrahim Ekren – University of Michigan – iekren@umich.edu
We study causal optimal transport problems with Markovian cost and prescribed Markovian marginal laws. We show that the associated value function solves a fully nonlinear parabolic PDE, for which we establish a comparison principle and, consequently, uniqueness of its viscosity solution. This PDE characterization allows us to identify the value with that of a constrained version of the control problem for the Kushner–Stratonovich equation. We also obtain a third equivalent optimal control formulation with a state constraint, which leads to implementable numerical schemes for causal optimal transport. This is joint ongoing work with Julio Backhoff, Erhan Bayraktar, and Antonios Zitridis.