52 citations · 53 across the 4 of their papers we have counts for
5 papers
Stretched Brownian Motion: convergence of dual optimising sequences
Walter Schachermayer, Pietro Siorpaes
We consider an irreducible pair of probability measures on in convex order. In arXiv:2306.11019, Backhoff, Beiglböck, Schachermayer and Tschiderer have s…
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 …
The decomposition of stretched Brownian motion into Bass martingales
Walter Schachermayer, Bertram Tschiderer
In previous work J. Backhoff-Veraguas, M. Beiglböck and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measure…
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…
A trajectorial interpretation of Doob's martingale inequalities
B. Acciaio, M. Beiglböck, F. Penkner +2
We present a unified approach to Doob's maximal inequalities for . The novelty of our method is that these martingale inequalities are obtained as consequence…