Relative martingales. (Martingales relatives.) (French) Zbl 0765.60037

Azéma, J.; Meyer, P. A.; Yor, M.

Séminaire de probabilités XXVI, Lect. Notes Math. 1526, 307-321 (1992).

[For the entire collection see Zbl 0754.00008.]
Azéma and Yor have studied the problem to characterize the class of martingales which vanish on the random set on which a given continuous martingale vanishes. In this paper the problem is generalized from continuous martingales to general semimartingales. One application is the theorem of Gilat which states that every positive submartingale can be considered as the absolute value of a martingale.

Reviewer: A.Gut (Uppsala)

MSC:

60G44

Martingales with continuous parameter

Keywords:

continuous martingale; semimartingales; positive submartingale

Citations:

Zbl 0754.00008