Peacocks and associated martingales, with explicit constructions
From MaRDI portal
Publication:538823
DOI10.1007/978-88-470-1908-9zbMath1227.60001OpenAlexW582076706MaRDI QIDQ538823
Christophe Profeta, Marc Yor, Bernard Roynette, Francis Hirsch
Publication date: 26 May 2011
Published in: Bocconi \& Springer Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-88-470-1908-9
Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (54)
Fine properties of the optimal Skorokhod embedding problem ⋮ On a problem of optimal transport under marginal martingale constraints ⋮ Canonical supermartingale couplings ⋮ Characterization of a class of weak transport-entropy inequalities on the line ⋮ On Peacocks: A General Introduction to Two Articles ⋮ Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks ⋮ To stay discovered: on tournament mean score sequences and the Bradley-Terry model ⋮ On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Comparing Brownian Stochastic Integrals for the Convex Order ⋮ SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions ⋮ Some perpetual integral functionals of the three-dimensional Bessel process ⋮ Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared ⋮ Total positivity and relative convexity of option prices ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Quantizations of probability measures and preservation of the convex order ⋮ A Dubins type solution to the Skorokhod embedding problem ⋮ Bougerol's identity in law and extensions ⋮ Fake exponential Brownian motion ⋮ Inverting the Markovian projection, with an application to local stochastic volatility models ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Unnamed Item ⋮ Lift expectations of random sets ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ From Hopf--Lax Formula to Optimal Weak Transfer Plan ⋮ Martingales associated to peacocks using the curtain coupling ⋮ IDT processes and associated Lévy processes with explicit constructions ⋮ Distributional compatibility for change of measures ⋮ Peacocks nearby: approximating sequences of measures ⋮ MRL order, log-concavity and an application to peacocks ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order ⋮ A Black-Scholes inequality: applications and generalisations ⋮ Martingale Marginals Do Not Always Determine Convergence ⋮ Mimicking self-similar processes ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Mean residual life processes and associated submartingales ⋮ Multiperiod martingale transport ⋮ On Martingales with Given Marginals and the Scaling Property ⋮ Constructing Self-Similar Martingales via Two Skorokhod Embeddings ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ How to make Dupire’s local volatility work with jumps ⋮ On Skorokhod embeddings and Poisson equations ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ Root to Kellerer ⋮ Peacocks Parametrised by a Partially Ordered Set ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach ⋮ Kellerer’s Theorem Revisited ⋮ Optimal transport and Skorokhod embedding
This page was built for publication: Peacocks and associated martingales, with explicit constructions
