The quadratic variations of local martingales and the first-passage times of stochastic integrals
Kaji, Shunsuke
J. Math. Kyoto Univ., Tome 49 (2009) no. 1, p. 491-502 / Harvested from Project Euclid
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We obtain the tail estimation of the quadratic variation of a local martingale with no assumption with respect to positive jumps. Moreover, applying it, we also discuss a tail property of the first-passage times of stochastic integrals.
Publié le : 2009-05-15
Classification:  60G48,  60G57 
@article{1260975037,
     author = {Kaji, Shunsuke},
     title = {The quadratic variations of local martingales and the first-passage times of stochastic integrals},
     journal = {J. Math. Kyoto Univ.},
     volume = {49},
     number = {1},
     year = {2009},
     pages = { 491-502},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1260975037}
}

Kaji, Shunsuke. The quadratic variations of local martingales and the first-passage times of stochastic integrals. J. Math. Kyoto Univ., Tome 49 (2009) no. 1, pp.  491-502. http://gdmltest.u-ga.fr/item/1260975037/