Abstract
We obtain the tail estimation of the quadratic variation of a local martingale with no assumption with respect to positive jumps. Moreover, applying it, we also discuss a tail property of the first-passage times of stochastic integrals.
Citation
Shunsuke Kaji. "The quadratic variations of local martingales and the first-passage times of stochastic integrals." J. Math. Kyoto Univ. 49 (3) 491 - 502, 2009. https://doi.org/10.1215/kjm/1260975037
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