A construction is given for a martingale having a given right continuous strictly positive submartingale as its absolute value. The existence of a martingale whose absolute value has the same distribution as the given submartingale was shown by Gilat.
Publié le : 1979-12-14
Classification:
Submartingale,
martingale,
sign change,
60G45
@article{1176994899,
author = {Protter, P. and Sharpe, M. J.},
title = {Martingales with Given Absolute Value},
journal = {Ann. Probab.},
volume = {7},
number = {6},
year = {1979},
pages = { 1056-1058},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994899}
}
Protter, P.; Sharpe, M. J. Martingales with Given Absolute Value. Ann. Probab., Tome 7 (1979) no. 6, pp. 1056-1058. http://gdmltest.u-ga.fr/item/1176994899/