[*This post originates from twitter threads posted on 9 Sep 21 and 2 Feb 22.*]

A while ago, I proved the result: *A continuous strong Markov martingale is uniquely determined by its marginal distributions*. This is discussed in a recent paper by Beiglböck, Pammer, and Schachermayer.

Time for a thread discussing some of these ideas, which have been studied for decades in both stochastic calculus and mathematical finance. Continue reading “Martingale Marginals” →

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