A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales

DOI10.1007/s10959-021-01118-0OpenAlexW3191049587MaRDI QIDQ2079157

Laura Sacerdote, David Gilat, Isaac Meilijson

Publication date: 29 September 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-021-01118-0

zbMATH Keywords

Brownian motionmartingalelocal timeupcrossings

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

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• On the expected diameter of an \(L_{2}\)-bounded martingale
• A decomposition theorem for supermartingales
• Decomposition of supermartingales: The uniqueness theorem
• Brownian Motion

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