Construction of a martingale with given absolute value

DOI10.1214/AOP/1176994473MaRDI QIDQ1163783zbMATH OpenOpenAlexFDO

Authors Martin T. Barlow

Publication date 1981

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176994473

zbMATH Keywords

stochastic intervalstopping timesubmartingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cited in

(8)

• Doob's inequalities revisited: A maximal H^ 1-embedding
• From discrete to continuous time
• Adapted Probability Distributions
• On the uniqueness of a local martingale with a given absolute value
• On the time inhomogeneous skew Brownian motion
• On the Construction and Distribution of a Local Martingale with a Given Absolute Value
• The joint law of terminal values of a nonnegative submartingale and its compensator
• Convergence of locally square integrable martingales to a continuous local martingale

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