Abstract
We derive explicitly the adapted 2-Wasserstein distance between non-degenerate Gaussian distributions on
Funding Statement
The research of T.-K. L. Wong is partially supported by an NSERC Discovery Grant (RGPIN-2019-04419).
Acknowledgments
Some preliminary results were presented at the workshop Optimal Transport and Distributional Robustness hosted at the Banff International Research Station. We thank the organizers and participants for their helpful comments. We also thank the anonymous reviewers for their careful reading and suggestions which improved the paper.
Citation
Madhu Gunasingam. Ting-Kam Leonard Wong. "Adapted optimal transport between Gaussian processes in discrete time." Electron. Commun. Probab. 30 1 - 14, 2025. https://doi.org/10.1214/25-ECP654
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