This was part of
Decision Making and Uncertainty
On the Martingale Schrödinger Bridge between Two Distributions
Johannes Wiesel, Carnegie Mellon University
Wednesday, February 7, 2024
Abstract: We study a martingale Schrödinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schrödinger potentials for this coupling. Namely, under certain conditions, the log-density of the optimal coupling is given by a triplet of real functions representing the marginal and martingale constraints. The potentials are also described as the solution of a dual problem. This talk is based on joint work with Marcel Nutz.