The quadratic variations of local martingales and the first-passage times of stochastic integrals

Kaji S

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The quadratic variations of local martingales and the first-passage times of stochastic integrals

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摘要

We obtain the tail estimation of the quadratic variation of a local martingale with no assumption with respect to positive jumps. Moreover, applying it, we also discuss a tail property of the first-passage times of stochastic integrals.

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来源
《Journal of Mathematics of Kyoto University》 |2009年第3期|491-502|共12页
作者
Kaji S;
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作者单位

Osaka Univ, Dept Math, Grad Sch Sci, Osaka 5600043, Japan.;

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原文格式 PDF
正文语种英语
中图分类数学;
关键词
estimation; quadratic variation; first-passage times;

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The quadratic variations of local martingales and the first-passage times of stochastic integrals

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