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Sur La Loi Du Maximum Et Du Temps Local D'Une Martingale Continue Uniformement Integrable
Author(s) -
Vallois P.
Publication year - 1994
Publication title -
proceedings of the london mathematical society
Language(s) - French
Resource type - Journals
SCImago Journal Rank - 1.899
H-Index - 65
eISSN - 1460-244X
pISSN - 0024-6115
DOI - 10.1112/plms/s3-69.2.399
Subject(s) - mathematics , integrable system , martingale (probability theory) , pure mathematics , humanities , philosophy
We characterize the laws of the maximum (respectively the local time at 0) of uniformly integrable and continuous martingales started at 0. We also give a refinement of the maximal inequality.