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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.OC2024
An ordinary differential equation for entropic optimal transport and its linearly constrained variants
Joshua Zoen-Git Hiew, Luca Nenna, Brendan Pass
We characterize the solution to the entropically regularized optimal transport problem by a well-posed ordinary differential equation (ODE). Our approach works for discrete margina…