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math.PR2024★ 1 cited
Bounding adapted Wasserstein metrics
Jose Blanchet, Martin Larsson, Jonghwa Park +1
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications to various fields such…
math.PR2024★ 1 cited
Empirical martingale projections via the adapted Wasserstein distance
Jose Blanchet, Johannes Wiesel, Erica Zhang +1
Given a collection of multidimensional pairs , we study the problem of projecting the associated suitably smoothed empirical measure onto the space of…
math.PR2024
On the Martingale Schrödinger Bridge between Two Distributions
Marcel Nutz, Johannes Wiesel
We study a martingale Schrödinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schröd…