8 citations · 9 across the 7 of their papers we have counts for
8 papers
The decomposition of stretched Brownian motion into Bass martingales
Walter Schachermayer, Bertram Tschiderer
In previous work J. Backhoff-Veraguas, M. Beiglböck and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measure…
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…
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…
Existence of Bass martingales and the martingale BenamouBrenier problem in
Julio Backhoff-Veraguas, Mathias Beiglböck, Walter Schachermayer +1
In classical optimal transport, the contributions of BenamouBrenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the bas…
A trajectorial approach to relative entropy dissipation of McKeanVlasov diffusions: gradient flows and HWBI inequalities
Bertram Tschiderer, Lane Chun Yeung
We formulate a trajectorial version of the relative entropy dissipation identity for McKeanVlasov diffusions, extending the results of the papers [FJ16,KST20a], which apply to n…
A variational characterization of LangevinSmoluchowski diffusions
Ioannis Karatzas, Bertram Tschiderer
We show that LangevinSmoluchowski measure on path space is invariant under time-reversal, followed by stochastic control of the drift with a novel entropic-type criterion. Repea…
A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions
Ioannis Karatzas, Walter Schachermayer, Bertram Tschiderer
We revisit the variational characterization of conservative diffusion as entropic gradient flow and provide for it a probabilistic interpretation based on stochastic calculus. It w…
Trajectorial Otto calculus
Ioannis Karatzas, Walter Schachermayer, Bertram Tschiderer
We revisit the variational characterization of diffusion as entropic gradient flux and provide for it a probabilistic interpretation based on stochastic calculus. It was shown by J…