On the uniqueness of a local martingale with a given absolute value

Summary D. Gilat has shown that any non-negative submartingale (X, .) is equal in law to the absolute value of a martingale (M, .). This result may be strenthened so that the pairs (X,.) and (¦M¦,.) are synonomous. In this paper the question of uniqueness of M is considered. Conditions on a local martingale (M, .) are found that lead to an explicit formula for the finite-dimensional distributions of M in terms of the Doob-Meyer decomposition of the local martingale X. In many cases of interest the conditions on M are unnecessary. For example, if X is the pth power of an Itô integral it is shown that (M) is unique if p> 1 but not in general if p=1.