Weak tail conditions for local martingales
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Open Access
This item is open access.
© 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.
Please use this identifier to cite or link to this item: