Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on R. We
begin by introducing the dual formulation and prove the exponential convergence of …
begin by introducing the dual formulation and prove the exponential convergence of …
On the Martingale Schr\" odinger Bridge between Two Distributions
We study a martingale Schr\" odinger bridge problem: given two probability distributions, find
their martingale coupling with minimal relative entropy. Our main result provides Schr\" …
their martingale coupling with minimal relative entropy. Our main result provides Schr\" …