Mimicking martingales
From MaRDI portal
Publication:341613
DOI10.1214/15-AAP1147zbMath1352.60061arXiv1505.03709OpenAlexW3037700296MaRDI QIDQ341613
Publication date: 16 November 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.03709
Brownian motion (60J65) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)
Related Items (9)
Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Faking Brownian motion with continuous Markov martingales ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Path properties of a generalized fractional Brownian motion
This page was built for publication: Mimicking martingales
