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June 2000 On some inequalities of local times for Azéma
Tsung-Ming Chao, Ching-Sung Chou
Bernoulli 6(3): 435-445 (June 2000).

Abstract

Let ( u t,cal G t) t 0 be Azéma martingale and its filtration, and let ( λ t x;xR,t0) be the local times of the Azéma martingale defined by the following Tanaka formula: u t 1 { u t>x}= 0 t1 { u s - >x}du s+1 2 λ t x. Then, for every ( cal G t) t 0 stopping time T and every p>0, there exist two universal constants cp, Cp >0 depending only on p, such that c p T 1 /2 pλ T * pC pT 1 /2 p , where λ t * =sup x Rλ t x .

Citation

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Tsung-Ming Chao. Ching-Sung Chou. "On some inequalities of local times for Azéma." Bernoulli 6 (3) 435 - 445, June 2000.

Information

Published: June 2000
First available in Project Euclid: 10 April 2004

zbMATH: 0965.60049
MathSciNet: MR2001C:60074

Rights: Copyright © 2000 Bernoulli Society for Mathematical Statistics and Probability

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Vol.6 • No. 3 • June 2000
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