142 citations · 230 across the 39 of their papers we have counts for
20 papers · 1 filter
Existence of Bass martingales and the martingale BenamouBrenier problem in
Julio Backhoff-Veraguas, Mathias Beiglböck, Walter Schachermayer +1
In classical optimal transport, the contributions of BenamouBrenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the bas…
A regularized Kellerer theorem in arbitrary dimension
Gudmund Pammer, Benjamin A. Robinson, Walter Schachermayer
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…
A Weak Law of Large Numbers for Dependent Random Variables
Ioannis Karatzas, Walter Schachermayer
Every sequence of random variables with contains a subsequence $…
A Strong Law of Large Numbers for Positive Random Variables
Ioannis Karatzas, Walter Schachermayer
In the spirit of the famous KOMLÓS (1967) theorem, every sequence of nonnegative, measurable functions on a probability space, contains a subsequence which -…
Faking Brownian motion with continuous Markov martingales
Mathias Beiglböck, George Lowther, Gudmund Pammer +1
Hamza-Klebaner posed the problem of constructing martingales with Brownian marginals that differ from Brownian motion, so called fake Brownian motions. Besides its theoretical appe…
Convergence of Optimal Expected Utility for a Sequence of Binomial Models
Friedrich Hubalek, Walter Schachermayer
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprisin…