A regularized Kellerer theorem in arbitrary dimension

DOI10.1214/24-AAP2125MaRDI QIDQ6970120zbMATH OpenFDO

Authors Gudmund Pammer, Benjamin A. Robinson, Walter Schachermayer

Publication date 18 June 2025

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-applied-probability/volume-35/issue-2/A-regularized-Kellerer-theorem-in-arbitrary-dimension/10.1214/24-AAP2125.full

zbMATH Keywords

diffusion processesKellerer's theoremmartingale optimal transportmimicking martingalespeacocksStrassen's theorem

Mathematics Subject Classification ID

Optimal transportation (49Q22) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

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Cited in

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