On tail distributions of supremum and quadratic variation of local martingales

Liptser, R; Novikov, A

On tail distributions of supremum and quadratic variation of local martingales

Liptser, R Novikov, A

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Field	Value	Language
dc.contributor.author	Liptser, R	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/33656
dc.identifier.uri	http://hdl.handle.net/10453/11618
dc.description.abstract	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.	en_US
dc.title	On tail distributions of supremum and quadratic variation of local martingales	en_US
dc.type	Chapter
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	150201 Finance	en_US
utslib.for	010205 Financial Mathematics	en_US
dc.location.activity	Rejkavik, Iceland
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access

Abstract:

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.

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http://hdl.handle.net/10453/11618