4 citations · 14 across the 12 of their papers we have counts for
3 papers · 1 filter
Analytical Approach to Continuous-Time Causal Optimal Transport
Julio Backhoff, Erhan Bayraktar, Ibrahim Ekren +1
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional…
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…
Reciprocal Specific Relative Entropy between Continuous Martingales
Julio Backhoff, Xin Zhang
We introduce a novel notion of divergence between continuous martingales; the reciprocal specific relative entropy. First, we motivate this definition from multiple perspectives. T…