A new proof of Kellerer’s theorem

By F. Hirsch, Bernard Roynette. 2012

61 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2016, unknown): “In particular, following Kellerer [35] (see also Hirsch and Roynette [22]),M∞(µ) is nonempty if and only if the family (µt)0≤t≤1 admits finite first order moment, is non-decreasing in convex ordering, and t 7→ µt is right-continuous.”
On a problem of optimal transport under marginal martingale constraints (2012, unknown): “This follows from simple approximation arguments (see [13] and also Section 4.”
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks (2015, background): “For such a family µ = ( µ t ) t ∈ [0 , 1] , it follows from Kellerer’s theorem (see e.g. Kellerer [24] or Hirsch and Roynette [17]) that there exists at least one (Markov) martingale whose one-dimensional marginal distributions coincide with µ .”