What random variable generates a bounded potential? (Q1773282)

Suppose that \(\{X_t, {\mathcal F}_t\}\) is a potential with the decomposition \(X_t=M_t-A_t\), where \(M_t\) is a martingale and \(A_t\) a nondecreasing right continuous predictable process with \(A_0=0\). It is well known that if \(X_t\) is a potential bounded by a positive number \(c_0\), then the random variable \(\xi=A_{\infty}\) satisfies the Garsia inequality \(EG(\xi)\leq c_0Eg(\xi)\), where \(g:R_+\mapsto R_+\) is any nondecreasing function and \(G(t)=\int^t_0g(u)\,du\). The authors study the inverse question and obtain the result that any nonnegative random variable \(\xi\) satisfying the Garsia inequality predictably generates a bounded potential.