On the Construction and Distribution of a Local Martingale with a Given Absolute Value

DOI10.2307/1998765zbMATH Open0506.60043OpenAlexW4238339500MaRDI QIDQ4743513FDOQ4743513

Authors: Edwin Perkins 

Publication date: 1982

Full work available at URL: https://doi.org/10.2307/1998765

zbMATH Keywords

Doob-Meyer decompositionsubmartingalenon-standard analysis

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Nonstandard models in mathematics (03H05)

Cites Work

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• Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
• Adapted Probability Distributions
• A non-standard representation for Brownian motion and Ito integration
• An infinitesimal approach to stochastic analysis
• Nonstandard Construction of the Stochastic Integral and Applications to Stochastic Differential Equations.I
• Weak Convergence of Stochastic Processes Defined on Semi-Infinite Time Intervals
• Construction of a martingale with given absolute value
• Every nonnegative submartingale is the absolute value of a martingale
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingales with given absolute value
• On the uniqueness of a local martingale with a given absolute value

Cited In (3)

• On the uniqueness of a local martingale with a given absolute value
• From discrete to continuous time
• Adapted Probability Distributions

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