Pages that link to "Item:Q538823"
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The following pages link to Peacocks and associated martingales, with explicit constructions (Q538823):
Displaying 50 items.
- On a problem of optimal transport under marginal martingale constraints (Q272939) (← links)
- Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared (Q402396) (← links)
- A Dubins type solution to the Skorokhod embedding problem (Q426682) (← links)
- From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order (Q719087) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Quantizations of probability measures and preservation of the convex order (Q900963) (← links)
- Canonical supermartingale couplings (Q1621445) (← links)
- Characterization of a class of weak transport-entropy inequalities on the line (Q1621719) (← links)
- On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options (Q1657477) (← links)
- Lift expectations of random sets (Q1726775) (← links)
- Martingales associated to peacocks using the curtain coupling (Q1748909) (← links)
- Bougerol's identity in law and extensions (Q1950172) (← links)
- Distributional compatibility for change of measures (Q1999603) (← links)
- Peacocks nearby: approximating sequences of measures (Q2000153) (← links)
- The Markov-quantile process attached to a family of marginals (Q2065092) (← links)
- From Bachelier to Dupire via optimal transport (Q2072111) (← links)
- Shadow martingales -- a stochastic mass transport approach to the peacock problem (Q2082703) (← links)
- Convex order, quantization and monotone approximations of ARCH models (Q2100004) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- To stay discovered: on tournament mean score sequences and the Bradley-Terry model (Q2145803) (← links)
- Monotone convex order for the McKean-Vlasov processes (Q2169075) (← links)
- The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions (Q2182620) (← links)
- Inverting the Markovian projection, with an application to local stochastic volatility models (Q2212591) (← links)
- Martingale Benamou-Brenier: a probabilistic perspective (Q2212593) (← links)
- Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations (Q2224954) (← links)
- MRL order, log-concavity and an application to peacocks (Q2258825) (← links)
- A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
- Mean residual life processes and associated submartingales (Q2297315) (← links)
- Multiperiod martingale transport (Q2301489) (← links)
- On Skorokhod embeddings and Poisson equations (Q2330463) (← links)
- Optimal transport and Skorokhod embedding (Q2356918) (← links)
- Fake exponential Brownian motion (Q2435766) (← links)
- Mimicking self-similar processes (Q2515501) (← links)
- Martingale Marginals Do Not Always Determine Convergence (Q2798581) (← links)
- On Peacocks: A General Introduction to Two Articles (Q2908746) (← links)
- Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks (Q2908748) (← links)
- Comparing Brownian Stochastic Integrals for the Convex Order (Q2946082) (← links)
- On Martingales with Given Marginals and the Scaling Property (Q3086811) (← links)
- Constructing Self-Similar Martingales via Two Skorokhod Embeddings (Q3086813) (← links)
- From Hopf--Lax Formula to Optimal Weak Transfer Plan (Q3296898) (← links)
- Shadow couplings (Q4992380) (← links)
- On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals (Q5130027) (← links)
- How to make Dupire’s local volatility work with jumps (Q5245895) (← links)
- Root to Kellerer (Q5270093) (← links)
- Peacocks Parametrised by a Partially Ordered Set (Q5270094) (← links)
- Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (Q5270095) (← links)
- Kellerer’s Theorem Revisited (Q5272955) (← links)
- IDT processes and associated Lévy processes with explicit constructions (Q5410823) (← links)
- Some perpetual integral functionals of the three-dimensional Bessel process (Q6038465) (← links)
