The Markov-quantile process attached to a family of marginals

DOI10.5802/jep.177zbMath1494.60045arXiv1804.10514OpenAlexW2793217320MaRDI QIDQ2065092

Charles Boubel, Nicolas Juillet

Publication date: 7 January 2022

Published in: Journal de l'École Polytechnique -- Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.10514

zbMATH Keywords

copulaMarkov processcontinuity equationincreasing processoptimal transportquantile processmartingale optimal transportpeacocksKellerer's theorem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) PDEs in connection with fluid mechanics (35Q35) Martingales with continuous parameter (60G44) Probabilistic measure theory (60A10) Spaces of measures, convergence of measures (28A33) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

From Bachelier to Dupire via optimal transport, Shadow martingales -- a stochastic mass transport approach to the peacock problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a problem of optimal transport under marginal martingale constraints
• Mimicking martingales
• Mimicking an Itō process by a solution of a stochastic differential equation
• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• Lazy random walks and optimal transport on graphs
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• Stochastic orders
• Characterization of absolutely continuous curves in Wasserstein spaces
• Ricci curvature of Markov chains on metric spaces
• Limits of one-dimensional diffusions
• Order conditioned independence of real random variables
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Markov property of point processes
• Stochastic partial ordering
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Martingales associated to peacocks using the curtain coupling
• Fake exponential Brownian motion
• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• \(W_{1,+}\)-interpolation of probability measures on graphs
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• On a Class of Optimal Transportation Problems with Infinitely Many Marginals
• Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options
• A Colonel Blotto Gladiator Game
• STRATEGY, NONTRANSITIVE DOMINANCE AND THE EXPONENTIAL DISTRIBUTION
• Shadow couplings
• Root to Kellerer
• Peacocks Parametrised by a Partially Ordered Set
• Kellerer’s Theorem Revisited
• On ℝ^d-valued peacocks
• The Existence of Probability Measures with Given Marginals
• Optimal Transport