Kellerer’s Theorem Revisited

DOI10.1007/978-1-4939-3076-0_18zbMath1368.60045OpenAlexW2402191580MaRDI QIDQ5272955

Marc Yor, Bernard Roynette, Francis Hirsch

Publication date: 5 July 2017

Published in: Asymptotic Laws and Methods in Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-3076-0_18

zbMATH Keywords

convex orderKellerer's theoremMarkov martingale

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (8)

Comparing Brownian Stochastic Integrals for the Convex Order ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Martingales associated to peacocks using the curtain coupling ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ How to make Dupire’s local volatility work with jumps ⋮ Root to Kellerer ⋮ Peacocks Parametrised by a Partially Ordered Set

Cites Work

• Unnamed Item
• Peacocks and associated martingales, with explicit constructions
• Limits of one-dimensional diffusions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• A new proof of Kellerer’s theorem

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