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math.PR2026
Bridging classical and martingale Schrödinger bridges
Julio Backhoff, Mathias Beiglböck, Giorgia Bifronte +1
We investigate the martingale Schrödinger bridge, recently introduced by Nutz and Wiesel as a distinguished martingale transport plan between two probability measures in convex or…
math.PR2025
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
Julio Backhoff, Gregoire Loeper, Jan Obloj
We introduce and study geometric Bass martingales. Bass martingales were introduced in \cite{Ba83} and studied recently in a series of works, including \cite{BaBeHuKa20,BaBeScTs23}…
math.PR2025
Exciting games and Monge-Ampère equations
Julio Backhoff, Zhizhang Wang, Xin Zhang
We consider a competition between players, and aim to identify the "most exciting game'' of this kind. This is translated, mathematically, into a stochastic optimization prob…