Some inequalities for p-variations of martingales

Ming Fan

Stochastic Processes and their Applications, 2004, vol. 109, issue 2, 189-201

Abstract: Some known inequalities concerning p-variations and conditional p-variations for discrete parameter martingales are sharpened and carried over in the more general context.

Keywords: Conditional; p-variation; Martingale; inequality; p-variation; Rearrangement; invariant; Sharp; operator (search for similar items in EconPapers)
Date: 2004
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