Dubins–Schwarz theorem

In the theory of martingales, the Dubins–Schwarz theorem (or Dambis–Dubins–Schwarz theorem) is a theorem that says all continuous local martingales and martingales are time-changed Brownian motions.

The theorem was proven in 1965 by Lester Dubins and Gideon E. Schwarz and independently in the same year by K. E. Dambis, a doctoral student of Eugene Dynkin.

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