Attainable claims with p'th moments
F. Delbaen, W. Schachermayer (1996)
Annales de l'I.H.P. Probabilités et statistiques
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F. Delbaen, W. Schachermayer (1996)
Annales de l'I.H.P. Probabilités et statistiques
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Julien Barral (2000)
Annales de l'I.H.P. Probabilités et statistiques
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Richard Gundy (1969)
Studia Mathematica
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Gerold Alsmeyer (1994)
Studia Mathematica
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Let be a zero-mean martingale with canonical filtration and stochastically -bounded increments which means that a.s. for all n ≥ 1, t > 0 and some square-integrable distribution H on [0,∞). Let . It is the main result of this paper that each such martingale is a.s. convergent on V < ∞ and recurrent on V = ∞, i.e. for some c > 0. This generalizes a recent result by Durrett, Kesten and Lawler [4] who consider the case of only finitely many square-integrable increment...
Alexander R. Pruss (1997)
Annales de l'I.H.P. Probabilités et statistiques
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Rodrigo Bañuelos (1987)
Studia Mathematica
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Tomasz Komorowski, Grzegorz Krupa (2003)
Annales de l'I.H.P. Probabilités et statistiques
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