3 papers
math.PR2026
Adapted Optimal Transport between Filtered Gaussian Processes
Madhu Gunasingam, Ting-Kam Leonard Wong
We continue the study of adapted optimal transport in the discrete-time Gaussian setting. To this end, we introduce a space of filtered Gaussian processes where both the randomness…
math.PR2026
Adapted Wasserstein Barycenters of Gaussian Processes
Madhu Gunasingam, Francesco Mattesini, Johannes Wiesel +1
We study barycenters of filtered Gaussian processes in adapted Wasserstein space. The adapted Wasserstein distance refines classical optimal transport by requiring transport plans…
math.PR2024
Adapted optimal transport between Gaussian processes in discrete time
Madhu Gunasingam, Ting-Kam Leonard Wong
We derive explicitly the adapted -Wasserstein distance between non-degenerate Gaussian distributions on and characterize the optimal bicausal coupling(s). This le…