3 papers
math.PR2026
Duality for a Martingale Transport Problem with Moment Constraints
Alexander V. Kolesnikov, Aleksandra Novikova, Kirill Sokolov
We consider a weak martingale optimal transport problem related to the martingale analogue of the Benamou--Brenier formula. In contrast to the classical setting, the second margina…
cs.LG2026
Variational Entropic Optimal Transport
Roman Dyachenko, Nikita Gushchin, Kirill Sokolov +3
Entropic optimal transport (EOT) in continuous spaces with quadratic cost is a classical tool for solving the domain translation problem. In practice, recent approaches optimize a…
cs.IT2025
Exponential convergence rate for Iterative Markovian Fitting
Kirill Sokolov, Alexander Korotin
We consider the discrete-time Schrödinger bridge problem on a finite state space. Although it has been known that the Iterative Markovian Fitting (IMF) algorithm converges in Kullb…