3 papers
math.PR2026
A weak transport approach to the Schrödinger-Bass bridge
Manuel Hasenbichler, Gudmund Pammer, Stefan Thonhauser
We study the Schrödinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by , whose limiting regimes interpolate between the classica…
q-fin.MF2024
The Mean Field Market Model Revisited
Manuel Hasenbichler, Wolfgang Müller, Stefan Thonhauser
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-fie…
q-fin.CP2023
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…