Construction of a Martingale with Given Absolute Value
Open Access
- 1 April 1981
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 9 (2) , 314-320
- https://doi.org/10.1214/aop/1176994473
Abstract
Let $Y$ be a nonnegative submartingale. A martingale $M$ is constructed on an enlarged space, with the property that $Y = |M|$.
Keywords
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