Walter Schachermayer

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math.PR2025

Stretched Brownian Motion: convergence of dual optimising sequences

Walter Schachermayer, Pietro Siorpaes

We consider an irreducible pair $I^¼ \leq_{c} I^½$ of probability measures on $R^{d}$ in convex order. In arXiv:2306.11019, Backhoff, BeiglbÃ¶ck, Schachermayer and Tschiderer hav…

math.PR2024

The Gradient Flow of the Bass Functional in Martingale Optimal Transport

Julio Backhoff-Veraguas, Gudmund Pammer, Walter Schachermayer

Given $I^¼$ and $I^½$ , probability measures on $R^{d}$ in convex order, a Bass martingale is arguably the most natural martingale starting with law $I^¼$ and finishing with law…

math.PR2024

The decomposition of stretched Brownian motion into Bass martingales

Walter Schachermayer, Bertram Tschiderer

In previous work J. Backhoff-Veraguas, M. BeiglbÃ¶ck and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measur…