2018/04/26 by Hulley, Hardy, Ruf, Johannes
#FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.1804.10083
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.