- Date : 26 Feb. (Thu)
- Place: W.W. 7th-floor, 4th lab.
- Time : 17:00 – 18:00
- Speaker: Claude Martini (Zeliade Systems)
- Title: “Martingale measures with pre-specified marginals: extremal points and perturbations” (joint work with L. Campi, London School of Economics)
- Abstract: The extremal points in the set of all measures with pre-specified marginals, ***without the martingale constraint***, have been extensively studied by many authors in the past (e.g. Denny, Douglas, Letac, Klopotowski to cite only a few).
In this talk, we will focus on the characterization provided by Denny in the countable case: a key property is that the support of the probability Q has no “cycle”, otherwise a perturbation of Q can be constructed so that Q can not be extremal.
In the context of the 2 marginals martingale problem studied by Beiglböck-Juillet, with special cases provided by Henry-Labordère and Touzi, Hobson and Klimmeck, Hobson and Neuberger, and Laachir, we give an analogous “cycle-like” property that corresponds to martingale perturbations.
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