Martingales associated to peacocks using the curtain coupling
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Publication:1748909
DOI10.1214/18-EJP138zbMath1391.60096OpenAlexW2790527238MaRDI QIDQ1748909
Publication date: 15 May 2018
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejp/1518426055
Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Convergence of probability measures (60B10) Discrete approximations in optimal control (49M25)
Related Items (11)
The geometry of multi-marginal Skorokhod embedding ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Multiperiod martingale transport ⋮ The Markov-quantile process attached to a family of marginals ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure
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