XIII: 55, 624-624, LNM 721 (1979)
YOR, Marc
Un exemple de J. Pitman (
General theory of processes)
The balayage formula allows the construction of many martingales vanishing on the zeros of a given continuous martingale $X$, namely martingales of the form $Z_{g_t}X_t$ where $Z$ is previsible. Taking $X$ to be Brownian motion, an example is given of a martingale vanishing on its zeros which is not of the above form
Comment: The general problem of finding all martingales which vanish on the zeros of a given continuous martingale is discussed by Azéma and Yor in
2622Keywords: Balayage,
Balayage formulaNature: Exposition
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