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math.OC2025
Remarks on multi-period martingale optimal transport
Brendan Pass, Joshua Hiew
We study the structural properties of multi-period martingale optimal transport (MOT). We develop new tools to address these problems, and use them to prove several uniqueness and…
math.NA2025
Characterizing and computing solutions to regularized semi-discrete optimal transport via an ordinary differential equation
Luca Nenna, Daniyar Omarov, Brendan Pass
This paper investigates the semi-discrete optimal transport (OT) problem with entropic regularization. We characterize the solution using a governing, well-posed ordinary different…
stat.ME2025
Data denoising with self consistency, variance maximization, and the Kantorovich dominance
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
We introduce a new framework for data denoising, partially inspired by martingale optimal transport. For a given noisy distribution (the data), our approach involves finding the cl…