4 papers · 1 filter
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…
Specific Wasserstein divergence between continuous martingales
Julio Backhoff-Veraguas, Xin Zhang
Defining a divergence between the laws of continuous martingales is a delicate task, owing to the fact that these laws tend to be singular to each other. An important idea, put for…
Adapted Wasserstein distance between the laws of SDEs
Julio Backhoff-Veraguas, Sigrid Källblad, Benjamin A. Robinson
We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous…
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…