Bass Martingales: an overview
Speaker:
Julio Backhoff-Veraguas, University of Vienna
Date and Time:
Friday, November 7, 2025 - 2:40pm to 3:15pm
Location:
Fields Institute, Room 230
Abstract:
Bass martingales are increasing, pointwise transformations of Brownian motion. Furthermore, they can be interpreted as the adapted Wasserstein projection of Brownian motion onto the set of martingales meeting initial and terminal marginals.
In this overview talk we discuss the structure and existence of Bass martingales, a connection to weak optimal transport (together with its duality theory), and some recent computational recipes that have been proposed in order to find them.