On Embedding Right Continuous Martingales in Brownian Motion
Monroe, Itrel
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1293-1311 / Harvested from Project Euclid
A stopping time $T$ for the Wiener process $W(t)$ is called minimal if there is no stopping time $S \leqq T$ such that $W(S)$ and $W(T)$ have the same distribution. In the first section, it is shown that if $E\{W(T)\} = 0$, then $T$ is minimal if and only if the process $W(t \wedge T)$ is uniformly integrable. Also, if $T$ is minimal and $E\{W(T)\} = 0$ then $E\{T\} = E\{W(T)^2\}$. In the second section, these ideas are used to show that for any right continuous martingale $M(t)$, there is a right continuous family of minimal stopping times $T(t)$ such that $W(T(t))$ has the same finite joint distributions as $M(t)$. In the last section it is shown that if $T$ is defined in the manner proposed by Skorokhod (and therefore minimal) such that $W(T)$ has a stable distribution of index $\alpha > 1$ then $T$ is in the domain of attraction of a stable distribution of index $\alpha/2$.
Publié le : 1972-08-14
Classification: 
@article{1177692480,
     author = {Monroe, Itrel},
     title = {On Embedding Right Continuous Martingales in Brownian Motion},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1293-1311},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692480}
}
Monroe, Itrel. On Embedding Right Continuous Martingales in Brownian Motion. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1293-1311. http://gdmltest.u-ga.fr/item/1177692480/