Equilibrium Transport with Time-Inconsistent Costs

• 成果类型: Article; Early Access
• 署名作者: Bayraktar, Erhan; Han, Bingyan
• 署名单位: University of Michigan System; University of Michigan; Hong Kong University of Science & Technology (Guangzhou)
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.0323
• 发表日期: 2025
• 关键词: stochastic-control

摘要

Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized optimal transport with general f-divergence. Under the bicausal constraint, we introduce the concept of equilibrium transport. Existence is proved in the semidiscrete Markovian case and the continuous non-Markovian case with strict quasiconvexity, whereas uniqueness also holds in the second case. We apply our framework to study mean-variance dynamic matching, nonlinear or state-dependent objectives with Gaussian data, and mismatches in job markets. Numerical results indicate a positive relationship between mismatches and state dependence.