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arXiv · 1804.10083

A remark on H1 martingales

Hardy Hulley·Johannes Ruf
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Abstract

The space of H1 martingales is interesting because of its duality with the space of BMO martingales. It is straightforward to show that every H1 martingale is a uniformly integrable martingale. However, the converse is not true. That is to say, some uniformly integrable martingales are not H1 martingales. This brief note provides a template for systematically constructing such processes.

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Hardy Hulley, Johannes Ruf. 2018-04-26. A remark on H1 martingales. https://arxiv.org/abs/1804.10083

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