LAW OF THE MAXIMUM AND LOCAL TIME OF A UN IFORMLY INTEGRABLE CONTINUOUS MARTINGALE

Authors
VALLOIS P
Citation
P. Vallois, LAW OF THE MAXIMUM AND LOCAL TIME OF A UN IFORMLY INTEGRABLE CONTINUOUS MARTINGALE, Proceedings of the London Mathematical Society, 69, 1994, pp. 399-427
Citations number
10
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Proceedings of the London Mathematical Society → ACNP
ISSN journal
00246115
Volume
69
Year of publication
1994
Part
2
Pages
399 - 427
Database
ISI
SICI code
0024-6115(1994)69:<399:LOTMAL>2.0.ZU;2-O
Abstract
We characterize the laws of the maximum (respectively the local time a t 0) of uniformly integrable and continuous martingales started at 0. We also give a refinement of the maximal inequality.