Tail distributions of supremum and quadratic variation of local Martingales

Publisher:
Springer
Publication Type:
Chapter
Citation:
From Stochastic Calculus to Mathematical Finance, 2006, 1, pp. 421 - 432
Issue Date:
2006-01
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We extend some known results concerning the distribution tails of supremum and quadratic variation of a continuous local martingale tothe case of locally square integrable martingales with bounded jumps. The predictable and optional quadratic vairations are involved inthe main result.
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