Shadow martingales -- a stochastic mass transport approach to the peacock problem
type: Item
instance of: scholarly article
title: Shadow martingales -- a stochastic mass transport approach to the peacock problem
DOI: 10.1214/22-EJP846
author: Martin Brückerhoff
author: Martin Huesmann
author: Nicolas Juillet
published in: Electronic Journal of Probability
publication date: 2022-10-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/2006.10478
full work available at URL: 22-EJP846.full
Mathematics Subject Classification ID: 60G07
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 49Q22
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7596288
zbMATH Keywords: Choquet representation
zbMATH Keywords: convex ordering
zbMATH Keywords: PCOC
zbMATH Keywords: Kellerer's theorem
zbMATH Keywords: martingale optimal transport
zbMATH Keywords: optimal transport
zbMATH Keywords: predictable representation property
zbMATH Keywords: shadows
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 7596288