Abstract
Let $Y$ be a nonnegative submartingale. A martingale $M$ is constructed on an enlarged space, with the property that $Y = |M|$.
Citation
M. T. Barlow. "Construction of a Martingale with Given Absolute Value." Ann. Probab. 9 (2) 314 - 320, April, 1981. https://doi.org/10.1214/aop/1176994473
Information
Published: April, 1981
First available in Project Euclid: 19 April 2007
zbMATH: 0484.60037
MathSciNet: MR606994
Digital Object Identifier: 10.1214/aop/1176994473
Subjects:
Primary:
60G45
Keywords:
martingale
,
submartingale
Rights: Copyright © 1981 Institute of Mathematical Statistics
