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math.PR2024
-Bass martingales
Bertram Tschiderer
An intriguing question in martingale optimal transport is to characterize the martingale with prescribed initial and terminal marginals whose transition kernel is as Gaussian as po…
math.PR2023
Diffusion processes as Wasserstein gradient flows via stochastic control of the volatility matrix
Bertram Tschiderer
We consider a class of time-homogeneous diffusion processes on with common invariant measure but varying volatility matrices. In Euclidean space, we show via stoch…
math.PR2023★ 1 cited
The Bass functional of martingale transport
Julio Backhoff-Veraguas, Walter Schachermayer, Bertram Tschiderer
An interesting question in the field of martingale optimal transport, is to determine the martingale with prescribed initial and terminal marginals which is most correlated to Brow…