Some remarks on the uniform integrability of continuous martingales

Koichiro Takaoka

Séminaire de probabilités de Strasbourg (1999)

  • Volume: 33, page 327-333

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Takaoka, Koichiro. "Some remarks on the uniform integrability of continuous martingales." Séminaire de probabilités de Strasbourg 33 (1999): 327-333. <http://eudml.org/doc/114017>.

@article{Takaoka1999,
author = {Takaoka, Koichiro},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {tail-properties; local martingale; supremum; quadratic variation},
language = {eng},
pages = {327-333},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some remarks on the uniform integrability of continuous martingales},
url = {http://eudml.org/doc/114017},
volume = {33},
year = {1999},
}

TY - JOUR
AU - Takaoka, Koichiro
TI - Some remarks on the uniform integrability of continuous martingales
JO - Séminaire de probabilités de Strasbourg
PY - 1999
PB - Springer - Lecture Notes in Mathematics
VL - 33
SP - 327
EP - 333
LA - eng
KW - tail-properties; local martingale; supremum; quadratic variation
UR - http://eudml.org/doc/114017
ER -

References

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  1. [1] Azéma, J., Gundy, R.F., Yor, M.: Sur l'intégrabilité uniforme des martingales continues. Séminaire de Probabilités XIV, LNM784, Springer (1980), pp. 53-61. Zbl0442.60046MR580108
  2. [2] Elworthy, K.D., Li, X.M., Yor, M.: On the tails of the supremum and the quadratic variation of strictly local martingales. Séminaire de Probabilités XXXI, LNM1655, Springer (1997), pp. 113-125. Zbl0886.60035MR1478722
  3. [3] _: The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Submitted to Probab. Theory Relat. Fields. Zbl0960.60046
  4. [4] Galtchouk, L.I., Novikov, A.A.: On Wald's equation. Discrete time case. Séminaire de Probabilités XXXI, LNM1655, Springer (1997), pp. 126-135. Zbl0882.60040MR1478723
  5. [5] Kazamaki, N.: Continuous Exponential Martingales and BMO. LNM1579, Springer (1994). Zbl0806.60033MR1299529
  6. [6] Revuz, D., Yor, M.: Continuous Martingales and Brownian Motion, Second edition. Springer (1994). Zbl0804.60001MR1303781
  7. [7] Sato, H.: Uniform integrabilities of an additive martingale and its exponential. Stochastics and Stochastics Reports30 (1990), 163-169. Zbl0703.60042MR1057597

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