Construction of a Martingale with Given Absolute Value
Barlow, M. T.
Ann. Probab., Tome 9 (1981) no. 6, p. 314-320 / Harvested from Project Euclid
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Let $Y$ be a nonnegative submartingale. A martingale $M$ is constructed on an enlarged space, with the property that $Y = |M|$.
Publié le : 1981-04-14
Classification:  Martingale,  submartingale,  60G45 
@article{1176994473,
     author = {Barlow, M. T.},
     title = {Construction of a Martingale with Given Absolute Value},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 314-320},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994473}
}

Barlow, M. T. Construction of a Martingale with Given Absolute Value. Ann. Probab., Tome 9 (1981) no. 6, pp.  314-320. http://gdmltest.u-ga.fr/item/1176994473/