55 citations · 71 across the 16 of their papers we have counts for
3 papers · 2 filters
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…
The most exciting game
Julio Backhoff-Veraguas, Mathias Beiglboeck
Motivated by a problem posed by Aldous, our goal is to find the maximal-entropy win-martingale: In a sports game between two teams, the chance the home team wins is initially $x_0…