Weak tail conditions for local martingales

Hulley, H; Ruf, J

Weak tail conditions for local martingales

Hulley, H

Ruf, J

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Citation:: 2019
Issue Date:: 2019-05-01

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Field	Value	Language
dc.contributor.author	Hulley, H https://orcid.org/0000-0002-6684-8309	en_US
dc.contributor.author	Ruf, J	en_US
dc.date.issued	2019-05-01	en_US
dc.identifier.citation	2019	en_US
dc.identifier.uri	http://hdl.handle.net/10453/37765
dc.description.abstract	© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (A) The weak tail of the supremum of its modulus is zero; (B) its jumps at the first-exit times from compact intervals converge to zero in L 1 on the events that those times are finite; and (C) its almost sure limit is an integrable random variable.	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Weak tail conditions for local martingales	en_US
utslib.for	0101 Pure Mathematics	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access

Abstract:

© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (A) The weak tail of the supremum of its modulus is zero; (B) its jumps at the first-exit times from compact intervals converge to zero in L 1 on the events that those times are finite; and (C) its almost sure limit is an integrable random variable.

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http://hdl.handle.net/10453/37765