On some inequalities of local times for Azéma martingales
type: Item
instance of: scholarly article
title: On some inequalities of local times for Azéma martingales
zbMATH Open document ID: 0965.60049
DOI: 10.2307/3318669
author: Tsung-Ming Chao
author: Ching-Sung Chou
published in: Bernoulli
publication date: 2000-08-06T00:00:00Z
review text: The so-called Azéma martingale is the optional projection of a Brownian motion starting at 0 onto the filtration generated by its sign process. In a similar way to the case of Brownian motion, there exists a local time associated with this martingale which gives rise to an occupation density formula. The main result of this paper is a Burkholder-type inequality involving stopping times and space suprema of the local time evaluated at the same time.
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1484639
zbMATH Keywords: Azéma martingale
zbMATH Keywords: local time
zbMATH Keywords: Garsia-Rodemich-Rumsey lemma
reviewed by: Dominique Lépingle
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.2307/3318669
OpenAlex ID: W1480105517
description: scientific article; zbMATH DE number 1484639