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math.OC2026
Analytical Approach to Continuous-Time Causal Optimal Transport
Julio Backhoff, Erhan Bayraktar, Ibrahim Ekren +1
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional…
math.OC2026
Reciprocal Specific Relative Entropy between Continuous Martingales
Julio Backhoff, Xin Zhang
We introduce a novel notion of divergence between continuous martingales; the reciprocal specific relative entropy. First, we motivate this definition from multiple perspectives. T…