On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
AbstractWe extend some known results on a relation between the distribution tails of the continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingale with bounded jumps. The predictable and optional quadratic variations are involved in the main result.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 116.
Date of creation: 01 Jan 2004
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
- NEP-ECM-2004-06-09 (Econometrics)
- NEP-ETS-2004-06-02 (Econometric Time Series)
- NEP-IFN-2004-06-02 (International Finance)
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