Existence of martingales given some constraint on laws

Let X=(X)0t1 be a continuous martingale starting at 0, then denote by μ and ν the probability laws of 10Xtdt and X1. Then it is easy to see that the couple (μ,ν) is increasing in convex order, i.e.

Rf(x)dμ(x)    Rf(x)dν(x)

holds for all convex functions f:RR of linear growth, see also “Peacocks and Associated Martingales, with Explicit Constructions” for further details. Now my question is given by probability measures μ and ν on R, could we give some conditions on the couple (μ,ν) such that there exists a continuous martingale X=(X)0t1 satisfying

X1μ  and  10Xtdtν?

Answer

Attribution
Source : Link , Question Author : CodeGolf , Answer Author : Community

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