How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?

Ashkan Nikeghbali

Statistics & Probability Letters, 2008, vol. 78, issue 6, 766-770

Abstract: This note deals with the question: what remains of the Burkholder-Davis-Gundy inequalities when stopping times T are replaced by arbitrary random times [rho]? We prove that these inequalities still hold when T is a pseudo-stopping time and never holds for ends of predictable sets.

Keywords: Random; times; Progressive; enlargement; of; filtrations; Martingale; inequalities (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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