Martingales with Given Absolute Value

P. Protter; M. J. Sharpe

doi:10.1214/aop/1176994899

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Home > Journals > Ann. Probab. > Volume 7 > Issue 6 > Article

December, 1979 Martingales with Given Absolute Value

P. Protter, M. J. Sharpe

Ann. Probab. 7(6): 1056-1058 (December, 1979). DOI: 10.1214/aop/1176994899

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Abstract

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.

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P. Protter. M. J. Sharpe. "Martingales with Given Absolute Value." Ann. Probab. 7 (6) 1056 - 1058, December, 1979. https://doi.org/10.1214/aop/1176994899