The tail estimation of the quadratic variation of a quasi left continuous local martingale
Kaji, Shunsuke
Osaka J. Math., Tome 44 (2007) no. 1, p. 893-907 / Harvested from Project Euclid
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We discuss some estimates of the tail distributions of the supremum and the quadratic variation of a local martingale. The assumption made so far in the literature on exponential moments involving a quasi left continuous local martingale is improved.
Publié le : 2007-12-15
Classification:  60G48 
@article{1199719411,
     author = {Kaji, Shunsuke},
     title = {The tail estimation of the quadratic variation of a quasi left continuous local martingale},
     journal = {Osaka J. Math.},
     volume = {44},
     number = {1},
     year = {2007},
     pages = { 893-907},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1199719411}
}

Kaji, Shunsuke. The tail estimation of the quadratic variation of a quasi left continuous local martingale. Osaka J. Math., Tome 44 (2007) no. 1, pp.  893-907. http://gdmltest.u-ga.fr/item/1199719411/