A new family of one dimensional martingale couplings

Autor: Benjamin Jourdain, William Margheriti

Publikováno v: Electron. J. Probab.
Electronic Journal of Probability
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2020, 25 (136), pp.1-50. ⟨10.1214/20-EJP543⟩
Electronic Journal of Probability, 2020, 25 (136), pp.1-50. ⟨10.1214/20-EJP543⟩

In this paper, we exhibit a new family of martingale couplings between two one-dimensional probability measures $\mu $ and $\nu $ in the convex order. This family is parametrised by two dimensional probability measures on the unit square with respect

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23c6e7efb511095471795bfbfc072942
https://doi.org/10.1214/20-ejp543