Abstract: The problem of constructing a martingale from knowledge of its marginal distributions has been of interest since a 1972 result of Kellerer. It gained renewed focus due to applications in finance, and is essentially solved in one dimension. We will discuss this and related open problems.
Martingales and the Peacock Problem
16.10.2024 15:15 - 16:15
Organiser:
R.I. Bot (U Vienna), W. Schachermayer (U. Vienna)
Location: