Martingales with Given Convex Image
Prinz, P.
Ann. Probab., Tome 10 (1982) no. 4, p. 1085-1087 / Harvested from Project Euclid
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Let $\varphi$ be a convex function. A sufficient condition is given that a submartingale is equal in law to the $\varphi$-image of a martingale. It follows that each nonnegative submartingale, without any assumption on the regularity of the paths, can be obtained as the absolute value of a martingale.
Publié le : 1982-11-14
Classification:  Martingale,  submartingale,  convex function,  60G45 
@article{1176993733,
     author = {Prinz, P.},
     title = {Martingales with Given Convex Image},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 1085-1087},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993733}
}

Prinz, P. Martingales with Given Convex Image. Ann. Probab., Tome 10 (1982) no. 4, pp.  1085-1087. http://gdmltest.u-ga.fr/item/1176993733/