8 citations · 9 across the 7 of their papers we have counts for
3 papers · 2 filters
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…