On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
We 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.
|Date of creation:||01 Jan 2004|
|Publication status:||Published as: Liptser, R. and Novikov, A., 2006, "Tail Distributions of Supremum and Quadratic Variation of Local Martingales", In Y. Kabanov, R. Liptser, and J. Stoyanov (eds), From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift, pp 421-432, Springer, Berlin.|
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