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On Tail Distributions of Supremum and Quadratic Variation of Local Martingales

We extend some known results on a relation between the distribution tails of the continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingale with bounded jumps. The predictable and optional quadratic variations are involved in the main result.
Year of publication:
2004-01-01
Authors: Liptser, R. ; Novikov, Alexander
Institutions: Finance Discipline Group, Business School
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Number 116
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Persistent link: https://www.econbiz.de/10004970479
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