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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.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…