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- W2217525565 abstract "We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions $(mu_t)_{tin [0,1]}$ which increases in convex order there exists a Markov martingale $(S_t)_{tin[0,1]}$ s.t. $S_tsim mu_t$. To establish the result, we observe that the set of martingale measures with given marginals carries a natural compact Polish topology. Based on a particular property of the martingale coupling associated to Root's embedding this allows for a relatively concise proof of Kellerer's theorem. We emphasize that many of our arguments are borrowed from Kellerer cite{Ke72}, Lowther cite{Lo07}, and Hirsch-Roynette-Profeta-Yor cite{HiPr11,HiRo12}." @default.
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- W2217525565 date "2016-01-01" @default.
- W2217525565 modified "2023-09-23" @default.
- W2217525565 title "Root to Kellerer" @default.
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- W2217525565 doi "https://doi.org/10.1007/978-3-319-44465-9_1" @default.
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