On martingales whose exponential processes satisfy Muckenhoupt’s condition A1

Adam Osȩkowski

Statistics & Probability Letters, 2013, vol. 83, issue 8, 1849-1853

Abstract: Let X be a continuous-path uniformly integrable martingale such that its exponential process E(X) satisfies the probabilistic version of Muckenhoupt’s condition A1. We establish optimal upper bounds for the BMO norm of X and a class of related sharp exponential estimates.

Keywords: BMO; Muckenhoupt’s class; Martingale; Exponential martingale (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.04.012

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