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Martingales de valeur absolue donnee, d'apres Protter et Sharpe

  • B. Maisonneuve
Exposes Supplementaires
Part of the Lecture Notes in Mathematics book series (LNM, volume 721)

Abstract

We improve and extend the method of Protter and Sharpe of showing Gilat's result that "every nonnegative submartingale is the absolute value of a martingale", in the case where the submartingale admits a multiplicative decomposition.

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References

  1. [1]
    D. GILAT (1977)-"Every nonnegative submartingale is the absolute value of a martingale". Annals of Probability 5, 475–481.MathSciNetCrossRefMATHGoogle Scholar
  2. [2]
    Ch. YOEURP et P.A. MEYER (1976)-"Sur la décomposition multiplicative des sous-martingales positives", Séminaire de Probabilités X. Lecture Notes in Mathematics, vol. 511, 501–504, Springer.MathSciNetMATHGoogle Scholar
  3. [3]
    P. PROTTER and M.J. SHARPE — "Martingales with given absolute value". To appear in Ann. of Prob.Google Scholar

Copyright information

© Springer-Verlag 1979

Authors and Affiliations

  • B. Maisonneuve

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