Abstract for the talk at 27.05.2014 (16:45 h)


Xiaolou Tan (Université Paris-Dauphine, France)
Martingale transport, Skorokhod embedding and peacocks

A peacock is a continuous time stochastic process non-decreasing in convex ordering. A process is a peacock if and only if there is a martingale which has the same one-dimensional marginal distributions. Here we are interested in studying the ''extremal'' martingale associated to a given peacock. We will dicuss some results obtained by the martingale transport approach and the Skorokhod embedding approach.


01.03.2017, 13:57