Weak tail conditions for local martingales

DOI10.1214/18-AOP1302zbMath1461.60024arXiv1508.07564WikidataQ127929413 ScholiaQ127929413MaRDI QIDQ2421830

Hardy Hulley, Johannes Ruf

Publication date: 18 June 2019

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07564

zbMATH Keywords

local martingalesuniform integrable local martingalesweak tail of the supremum

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (6)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Calibration to FX triangles of the 4/2 model under the benchmark approach ⋮ Bubbles in discrete-time models ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ Asymptotic asset pricing and bubbles

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