Martingale Benamou-Brenier: a probabilistic perspective (Q2212593): Difference between revisions

A Benamou-Brenier type formulation of the martingale transport problem is given for given \(d\)-dimensional distributions \(\mu\) and \(\nu\) in convex order. The unique solution \(M^{*}\) of this problem is a Markov-martingale which has several notable properties. Similarly to McCann's displacement-interpolation, \(M^{*}\) provides a time-consistent interpolation between \(\mu\) and \(\nu\). In special cases, \(M^{*}\) recovers archetypical martingales such as Brownian motion, geometric Brownian motion, and the Bass martingale.