On tail distributions of supremum and quadratic variation of local martingales

Details On tail distributions of supremum and quadratic variation of local martingales On tail distributions of supremum and quadratic variation of local martingales

2005-03-04

arxiv.org/abs/math/0503072v1

Mathematics

Probability

Scientific paper

We extend some known results relating the distribution tails of a continuous
local martingale supremum and its quadratic variation to the case of locally
square integrable martingales with bounded jumps. The predictable and optional
quadratic variations are involved in the main result.

Affiliated with

Also associated with

No associations

Rating

On tail distributions of supremum and quadratic variation of local martingales does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On tail distributions of supremum and quadratic variation of local martingales, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On tail distributions of supremum and quadratic variation of local martingales will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-201174