3 papers
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.OC2025
Entropic selection for optimal transport on the line with distance cost
Armand Ley
We study the small-regularisation limit of the entropic optimal transport problem on the line with distance cost. While convergence of entropic minimizers is well understood in the…
math.PR2024
On the Markov transformation of Gaussian processes
Armand Ley
Given a Gaussian process , we construct a Gaussian \emph{Markov} process with the same one-dimensional marginals using sequences of transformations of $(X…