[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” →