Interpolation of Martingales
Heath, David
Ann. Probab., Tome 5 (1977) no. 6, p. 804-806 / Harvested from Project Euclid
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We show that every discrete-time martingale can be interpolated to give a continuous, continuous-time martingale, and provide a necessary and sufficient condition for the existence of an interpolated martingale with no flat spots.
Publié le : 1977-10-14
Classification:  Martingale,  interpolation,  60G45 
@article{1176995723,
     author = {Heath, David},
     title = {Interpolation of Martingales},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 804-806},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995723}
}

Heath, David. Interpolation of Martingales. Ann. Probab., Tome 5 (1977) no. 6, pp.  804-806. http://gdmltest.u-ga.fr/item/1176995723/