3 citations · 15 across the 36 of their papers we have counts for
4 papers · 2 filters
The Gradient Flow of the Bass Functional in Martingale Optimal Transport
Julio Backhoff-Veraguas, Gudmund Pammer, Walter Schachermayer
Given and , probability measures on in convex order, a Bass martingale is arguably the most natural martingale starting with law and finishing with law …
Change of numeraire for weak martingale transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Ca…
Multicausal transport: barycenters and dynamic matching
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Su…
General duality and dual attainment for adapted transport
Daniel Kršek, Gudmund Pammer
We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, t…