5 citations · 7 across the 4 of their papers we have counts for
3 papers · 1 filter
Adapted Wasserstein distance between the laws of SDEs
Julio Backhoff-Veraguas, Sigrid Källblad, Benjamin A. Robinson
We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous…
Controlled Measure-Valued Martingales: a Viscosity Solution Approach
Alexander M. G. Cox, Sigrid Källblad, Martin Larsson +1
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, ca…
Martingale Benamou--Brenier: a probabilistic perspective
Julio Backhoff-Veraguas, Mathias Beiglböck, Martin Huesmann +1
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis…