Abstract: The Schrödinger--Bass problem is a semimartingale optimal transport problem connecting the celebrated Schrödinger bridge with the Bass martingale problem. In this talk, I will explain how the dynamic Schrödinger--Bass problem admits an equivalent static formulation as a weak optimal transport problem with an explicit cost. This reformulation yields existence and duality results, provides a structural characterization of the optimal semimartingales, and naturally leads to a Sinkhorn-type iteration for computation.

For further information please contact elisur.magrini@unibocconi.it