Weak Tail Conditions for Local Martingales

Hardy Hulley () and Johannes Ruf
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Hardy Hulley: Finance Discipline Group, University of Technology Sydney, https://profiles.uts.edu.au/hardy.hulley

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: The following conditions are necessary and jointly sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (A) The weak tail of the supremum of its modulus is zero; (B) its jumps at the first-exit times from compact intervals converge to zero in L1 on the events that those times are finite; and (C) its almost sure limit is an integrable random variable.

Keywords: Local martingales; uniformly integrable local martingales; weak tail of the supremum (search for similar items in EconPapers)
Pages: 15 pages
Date: 2019-01-01
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Citations: View citations in EconPapers (8)

Published in: Hulley, H. and Ruf, J., 2019, "Weak tail conditions for local martingales", The Annals of Probability, 47(3), 1811-1825.

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