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Daily Overview |
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OT4: Optimal Transport: Theory and Applications Location: G227 Session Chair: Stephan Eckstein Session Chair: Johannes Wiesel | |
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Martingale Schrödinger bridges University of Vienna, Austria After a brief introduction to martingale optimal transport, I will present the martingale Schrödinger bridge problem introduced by Nutz and Wiesel, which consists in finding a canonical coupling among all martingale couplings between two probability measures in convex order. I will then discuss several equivalent characterizations of this object: in particular, I will explain how the continuous continuous couterpart of the martingale Schrödinger bridge relates to the Föllmer process. Time permitting, I will conclude with numerical illustrations, applications, and comparisons with other canonical constructions in martingale transport. The talk is based on joint work with Julio Backhoff, Mathias Beiglböck, and Giorgia Bifronte. | |
