Sharp maximal bound for continuous martingales

Ose[combining cedilla]kowski, Adam

Statistics & Probability Letters, 2010, vol. 80, issue 17-18, 1405-1408

Abstract: Let X, Y be continuous-path martingales satisfying the condition [X,X]t>=[Y,Y]t for all t>=0. We prove that and the constant 3/2 is the best possible.

Keywords: Martingale; Stochastic; integral; Maximal; inequality; Differential; subordination (search for similar items in EconPapers)
Date: 2010
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