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math.PR2026
Duality for a Martingale Transport Problem with Moment Constraints
Alexander V. Kolesnikov, Aleksandra Novikova, Kirill Sokolov
We consider a weak martingale optimal transport problem related to the martingale analogue of the Benamou--Brenier formula. In contrast to the classical setting, the second margina…
math.PR2006
Modified log-Sobolev inequalities and isoperimetry
Alexander V. Kolesnikov
We find sufficient conditions for a probability measure to satisfy an inequality of the type $$ \int_{\R^d} f^2 F\Bigl(\frac{f^2}{\int_{\R^d} f^2 d μ} \Bigr) d μ\le C \int_{\R^…