Martingales associated to peacocks using the curtain coupling

DOI10.1214/18-EJP138MaRDI QIDQ1748909zbMATH OpenOpenAlexFDO

Authors Nicolas Juillet

Publication date 15 May 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejp/1518426055

zbMATH Keywords

convex ordercouplingsmartingalesoptimal transportpeacocks

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Continuous-time Markov processes on general state spaces (60J25)

Recommendations

• Peacocks and associated martingales, with explicit constructions
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
• A new family of one dimensional martingale couplings
• scientific article; zbMATH DE number 980013
• Some examples of peacocks in a Markovian set-up
• scientific article; zbMATH DE number 3951701
• A martingale approach to the PASTA property
• Martingales and some applications

Cites work

• A convexity principle for interacting gases
• An explicit martingale version of the one-dimensional Brenier theorem
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• Characterization of absolutely continuous curves in Wasserstein spaces
• Dilations and stochastic processes
• Gradient flows in metric spaces and in the space of probability measures
• scientific article; zbMATH DE number 1817650 (Why is no real title available?)
• scientific article; zbMATH DE number 52632 (Why is no real title available?)
• scientific article; zbMATH DE number 1257370 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 3444562 (Why is no real title available?)
• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• Kellerer's theorem revisited
• Limits of one-dimensional diffusions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• On a class of optimal transportation problems with infinitely many marginals
• On a problem of optimal transport under marginal martingale constraints
• On ℝ^d-valued peacocks
• Optimal transport and Skorokhod embedding
• Peacocks and associated martingales, with explicit constructions
• Root to Kellerer
• Stability of the shadow projection and the left-curtain coupling
• Stochastic partial ordering
• The Existence of Probability Measures with Given Marginals

Cited in

(15)

• The Markov-quantile process attached to a family of marginals
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• A construction of the left-curtain coupling
• The potential of the shadow measure
• The geometry of multi-marginal Skorokhod embedding
• SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
• Multiperiod martingale transport
• The left-curtain martingale coupling in the presence of atoms
• Constructing Self-Similar Martingales via Two Skorokhod Embeddings
• Shadow couplings
• Stability of the shadow projection and the left-curtain coupling
• Supermartingale Brenier's theorem with full-marginals constraint
• Supermartingale shadow couplings: the decreasing case
• A potential-based construction of the increasing supermartingale coupling
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

This page was built for publication: Martingales associated to peacocks using the curtain coupling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1748909)