Causal optimal transport value between finite-state Markov source and diffusion target is characterized by a nonlinear parabolic master equation on enlarged state space and shown equivalent to Kushner-Stratonovich filtering control with zero-mean condition and state-constrained control.
The Wasserstein space of stochastic processes in continuous time.arXiv preprint arXiv:2501.14135,
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Adapted Wasserstein barycenters of Gaussian processes admit Gaussian solutions characterized by their means and covariance operators.
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Analytical Approach to Continuous-Time Causal Optimal Transport
Causal optimal transport value between finite-state Markov source and diffusion target is characterized by a nonlinear parabolic master equation on enlarged state space and shown equivalent to Kushner-Stratonovich filtering control with zero-mean condition and state-constrained control.
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Adapted Wasserstein Barycenters of Gaussian Processes
Adapted Wasserstein barycenters of Gaussian processes admit Gaussian solutions characterized by their means and covariance operators.