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math.PR2024
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 …
math.PR2024
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…