A regularized Kellerer theorem in arbitrary dimension
Probability
2025-06-03 v3
Abstract
We present a multidimensional extension of Kellerer's theorem on the existence of mimicking Markov martingales for peacocks, a term derived from the French for stochastic processes increasing in convex order. For a continuous-time peacock in arbitrary dimension, after Gaussian regularization, we show that there exists a strongly Markovian mimicking martingale It\^o diffusion. A novel compactness result for martingale diffusions is a key tool in our proof. Moreover, we provide counterexamples to show, in dimension , that uniqueness may not hold, and that some regularization is necessary to guarantee existence of a mimicking Markov martingale.
Cite
@article{arxiv.2210.13847,
title = {A regularized Kellerer theorem in arbitrary dimension},
author = {Gudmund Pammer and Benjamin A. Robinson and Walter Schachermayer},
journal= {arXiv preprint arXiv:2210.13847},
year = {2025}
}
Comments
25 pages, 1 figure