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arXiv · 2404.06625

Adapted optimal transport between Gaussian processes in discrete time

Madhu Gunasingam·Ting-Kam Leonard Wong
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Abstract

We derive explicitly the adapted $2$-Wasserstein distance between non-degenerate Gaussian distributions on $\mathbb{R}^N$ and characterize the optimal bicausal coupling(s). This leads to an adapted version of the Bures-Wasserstein distance on the space of positive definite matrices.

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Madhu Gunasingam, Ting-Kam Leonard Wong. 2024-04-09. Adapted optimal transport between Gaussian processes in discrete time. https://arxiv.org/abs/2404.06625

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