Martingales with given absolute value

DOI10.1214/AOP/1176994899MaRDI QIDQ1133236zbMATH OpenOpenAlexFDO

Authors Philip Protter, Michael J. Sharpe

Publication date 1979

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

Full work available at URL https://doi.org/10.1214/aop/1176994899

zbMATH Keywords

martingalesign changesubmartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cited in

(3)

• Some dimension-free features of vector-valued martingales
• On the Construction and Distribution of a Local Martingale with a Given Absolute Value
• On the uniqueness of a local martingale with a given absolute value

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