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The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator

Theory of Probability and Its Applications. 2018. Vol. 62. No. 2. P. 216–235.
Gushchin A. A.

We characterize the set $W$ of possible joint laws of terminal values of a nonnegative submartingale $X$ of class $(D)$, starting at 0, and the predictable increasing process (compensator) from its Doob--Meyer decomposition. The set of possible values remains the same under certain additional constraints on $X$, for example, under the condition that $X$ is an increasing process or a squared martingale. Special attention is paid to extremal (in a certain sense) elements of the set $W$ and to the corresponding processes. We relate also our results with Rogers's results on the characterization of possible joint values of a martingale and its maximum.

Priority areas: mathematics
Language: English
DOI
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Keywords: compensatorincreasing processtime-changecomonotonicitynonnegative submartingale
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