On martingales whose exponential processes satisfy Muckenhoupt’s condition A1

Let X be a continuous-path uniformly integrable martingale such that its exponential process E(X) satisfies the probabilistic version of Muckenhoupt’s condition A1. We establish optimal upper bounds for the BMO norm of X and a class of related sharp exponential estimates.

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Year of publication:	2013
Authors:	Osȩkowski, Adam
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 8, p. 1849-1853
Publisher:	Elsevier
Subject:	BMO \| Muckenhoupt’s class \| Martingale \| Exponential martingale

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039908