Martingale transport, Skorokhod embedding and peacocks

  • Xiaolou Tan (Université Paris-Dauphine, France)
A3 01 (Sophus-Lie room)


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.

Katja Heid

MPI for Mathematics in the Sciences Contact via Mail

Upcoming Events of This Seminar

  • Mar 12, 2024 tba with Theresa Simon
  • Mar 26, 2024 tba with Phan Thành Nam
  • Mar 26, 2024 tba with Dominik Schmid
  • May 7, 2024 tba with Manuel Gnann
  • May 14, 2024 tba with Barbara Verfürth
  • May 14, 2024 tba with Lisa Hartung
  • Jun 25, 2024 tba with Paul Dario
  • Jul 16, 2024 tba with Michael Loss