A remark on H1 martingales
arXiv:1804.10083
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.