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.
On a formula for theL 2 Wasserstein metric between measures on Eu- clidean and Hilbert spaces.Mathematische Nachrichten, 147(1):185–203, 1990
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Adapted Optimal Transport between Filtered Gaussian Processes
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.