What random variable generates a bounded potential?

N. Kartashov and Yu. Mishura

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-10

Abstract:

It is known that if a predictable nondecreasing process generates a bounded potential, then its final value satisfies the Garsia inequality. We prove the converse, that is, a random variable satisfying the Garsia inequality generates a bounded potential. We also propose some useful relations between the Garsia inequality and the Cramer conditions, and different ways how to construct a potential.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:864541

DOI: 10.1155/S104895330420301X

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