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arXiv preprint arXiv:2509.03506 (2025)

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Adapted Optimal Transport between Filtered Gaussian Processes

math.PR · 2026-04-24 · unverdicted · novelty 7.0

Adapted optimal transport on filtered Gaussian processes reduces to a constrained Procrustes problem between Cholesky factors, yielding explicit martingale projections and asymptotic equivalence among bicausal couplings.

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