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Martingale transport, Skorokhod embedding and peacocks

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

Abstract

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

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