On Tail Distributions of Supremum and Quadratic Variation of Local Martingales

R. Liptser and Alexander Novikov

No 116, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Pages: 12 pages
Date: 2004-01-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
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Published as: Liptser, R. and Novikov, A., 2006, "Tail Distributions of Supremum and Quadratic Variation of Local Martingales", In Y. Kabanov, R. Liptser, and J. Stoyanov (eds), From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift, pp 421-432, Springer, Berlin.

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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:116

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