Peacocks parametrised by a partially ordered set

DOI10.1007/978-3-319-44465-9_2MaRDI QIDQ5270094zbMATH OpenOpenAlexFDO

Authors Nicolas Juillet

Publication date 22 June 2017

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-44465-9_2

zbMATH Keywords

martingalespartially ordered setspeacocks

Mathematics Subject Classification ID

Spaces of measures, convergence of measures (28A33) Convergence of probability measures (60B10) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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• Peacocks and associated martingales, with explicit constructions
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• A new proof of Kellerer's theorem

Cites work

• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• Kellerer's theorem revisited
• Looking for martingales associated to a self-decomposable law
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• On a class of optimal transportation problems with infinitely many marginals
• On a problem of optimal transport under marginal martingale constraints
• On extremal measures and subspace density
• On ℝ^d-valued peacocks
• Peacocks and associated martingales, with explicit constructions
• Root to Kellerer
• Stability of the shadow projection and the left-curtain coupling
• Stochastic inequalities on partially ordered spaces
• Stochastic integrals in the plane
• Stochastic monotonicity and realizable monotonicity
• Stochastic partial ordering
• The Existence of Probability Measures with Given Marginals

Cited in

(17)

• The Markov-quantile process attached to a family of marginals
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Stability of martingale optimal transport and weak optimal transport
• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
• Mean residual life processes and associated submartingales
• Weak decreasing stochastic order
• Some examples of peacocks in a Markovian set-up
• Homogeneous Random Measures and a Weak Order for the Excessive Measures of a Markov Process
• A new proof of Kellerer's theorem
• Shadow couplings
• Kellerer's theorem revisited
• Peacocks and associated martingales, with explicit constructions
• On ℝ^d-valued peacocks
• Information hierarchies
• A regularized Kellerer theorem in arbitrary dimension
• The football model, stochastic ordering and martingale transport
• A coupling proof of convex ordering for compound distributions

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