Shadow martingales -- a stochastic mass transport approach to the peacock problem

DOI10.1214/22-EJP846MaRDI QIDQ2082703

Martin Brückerhoff, Martin Huesmann, Nicolas Juillet

Publication date: 4 October 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.10478

zbMATH Keywords

shadowsoptimal transportconvex orderingmartingale optimal transportPCOCChoquet representationpredictable representation propertyKellerer's theorem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal transportation (49Q22)

Related Items (5)

Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ The potential of the shadow measure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a problem of optimal transport under marginal martingale constraints
• An explicit martingale version of the one-dimensional Brenier theorem
• Mimicking martingales
• Robust price bounds for the forward starting straddle
• Stability of the shadow projection and the left-curtain coupling
• Peacocks and associated martingales, with explicit constructions
• Calcul stochastique et problèmes de martingales
• Making Markov martingales meet marginals: With explicit constructions
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
• Optimal and better transport plans
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Canonical supermartingale couplings
• Geometry of distribution-constrained optimal stopping problems
• Robust bounds for the American put
• Martingales associated to peacocks using the curtain coupling
• Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks
• A new family of one dimensional martingale couplings
• A solution to the Monge transport problem for Brownian martingales
• The Markov-quantile process attached to a family of marginals
• The potential of the shadow measure
• The geometry of multi-marginal Skorokhod embedding
• Weak monotone rearrangement on the line
• Martingale Benamou-Brenier: a probabilistic perspective
• Multiperiod martingale transport
• Optimal transport and Skorokhod embedding
• Monotone martingale transport plans and Skorokhod embedding
• Kantorovich duality for general transport costs and applications
• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• The stopping distributions of a Markov process
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• Some Examples of Peacocks in a Markovian Set-Up
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
• Model-Free Hedging
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• Shadow couplings
• On a mixture of Brenier and Strassen Theorems
• A new class of costs for optimal transport planning
• Root to Kellerer
• Peacocks Parametrised by a Partially Ordered Set
• Optimal Transport

This page was built for publication: Shadow martingales -- a stochastic mass transport approach to the peacock problem