Nested distance for stagewise-independent processes

2017/11/29 by Cabral, Filipe Goulart, da Costa, Bernardo Freitas Paulo
#49M27 #90C08 #90C15 #90C39 #FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1711.10633

Abstract

We prove that, for two discrete-time stagewise-independent processes with a stagewise metric, the nested distance is equal to the sum of the Wasserstein distances between the marginal distributions of each stage.

Related

• Fundamental Properties of Process Distances
• Nested Sinkhorn Divergence To Compute The Nested Distance
• Entropic Regularization of the Nested Distance
• Adapted optimal transport between Gaussian processes in discrete time
• Estimating processes in adapted Wasserstein distance