4 citations · 14 across the 12 of their papers we have counts for
6 papers · 1 filter
Bridging classical and martingale Schrödinger bridges
Julio Backhoff, Mathias Beiglböck, Giorgia Bifronte +1
We investigate the martingale Schrödinger bridge, recently introduced by Nutz and Wiesel as a distinguished martingale transport plan between two probability measures in convex ord…
Exciting games and Monge-Ampère equations
Julio Backhoff, Zhizhang Wang, Xin Zhang
We consider a competition between players, and aim to identify the "most exciting game'' of this kind. This is translated, mathematically, into a stochastic optimization prob…
Multidimensional specific relative entropy between continuous martingales
Julio Backhoff, Edoardo Kimani Bellotto
In continuous time, the laws of martingales tend to be singular to each other. Notably, N. Gantert introduced the concept of specific relative entropy between real-valued continuou…
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
Julio Backhoff, Gregoire Loeper, Jan Obloj
We introduce and study geometric Bass martingales. Bass martingales were introduced in \cite{Ba83} and studied recently in a series of works, including \cite{BaBeHuKa20,BaBeScTs23}…
Estimating processes in adapted Wasserstein distance
Julio Backhoff, Daniel Bartl, Mathias Beiglböck +1
A number of researchers have independently introduced topologies on the set of laws of stochastic processes that extend the usual weak topology. Depending on the respective scienti…
The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
Julio Backhoff-Veraguas, Giovani Conforti, Ivan Gentil +1
We study the mean field Schrödinger problem (MFSP), that is the problem of finding the most likely evolution of a cloud of interacting Brownian particles conditionally on the obser…