English

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 d2d \geq 2, that uniqueness may not hold, and that some regularization is necessary to guarantee existence of a mimicking Markov martingale.

Keywords

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

R2 v1 2026-06-28T04:26:39.865Z