Root to Kellerer

DOI10.1007/978-3-319-44465-9_1MaRDI QIDQ5270093zbMATH OpenOpenAlexFDO

Authors Mathias Beiglböck, Martin Huesmann, Florian Stebegg

Publication date 22 June 2017

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.07690

zbMATH Keywords

Kellerer's theoremMarkov martingalemartingale measures

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Abstract: We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions $(m{u}_t{)}_{tin[0,1]}$ which increases in convex order there exists a Markov martingale $(S_t{)}_{tin[0,1]}$ s.t. $S_{t}simm{u}_t$. To establish the result, we observe that the set of martingale measures with given marginals carries a natural compact Polish topology. Based on a particular property of the martingale coupling associated to Root's embedding this allows for a relatively concise proof of Kellerer's theorem. We emphasize that many of our arguments are borrowed from Kellerer cite{Ke72}, Lowther cite{Lo07}, and Hirsch-Roynette-Profeta-Yor cite{HiPr11,HiRo12}.

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Cited in

(17)

• Canonical supermartingale couplings
• Martingales associated to peacocks using the curtain coupling
• Peacocks nearby: approximating sequences of measures
• 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
• Fine properties of the optimal Skorokhod embedding problem
• The geometry of multi-marginal Skorokhod embedding
• Martingale Benamou-Brenier: a probabilistic perspective
• Multiperiod martingale transport
• Robust bounds for derivative prices in Markovian models
• A new proof of Kellerer's theorem
• Shadow couplings
• Peacocks parametrised by a partially ordered set
• Kellerer's theorem revisited
• A regularized Kellerer theorem in arbitrary dimension
• The football model, stochastic ordering and martingale transport

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