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How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?

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  • Nikeghbali, Ashkan

Abstract

This note deals with the question: what remains of the Burkholder-Davis-Gundy inequalities when stopping times T are replaced by arbitrary random times [rho]? We prove that these inequalities still hold when T is a pseudo-stopping time and never holds for ends of predictable sets.

Suggested Citation

  • Nikeghbali, Ashkan, 2008. "How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 766-770, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:766-770
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    References listed on IDEAS

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    1. Nikeghbali, Ashkan, 2007. "Non-stopping times and stopping theorems," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 457-475, April.
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    Cited by:

    1. Safa Alsheyab & Tahir Choulli, 2021. "Reflected backward stochastic differential equations under stopping with an arbitrary random time," Papers 2107.11896, arXiv.org.

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