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How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?


Nikeghbali, A (2008). How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times? Statistics and Probability Letters, 78(6):766-770.

Abstract

This note deals with the question: what remains of the Burkholder–Davis–Gundy inequalities when stopping times T are replaced by arbitrary random times ρ? We prove that these inequalities still hold when T is a pseudo-stopping time and never holds for ends of predictable sets.

Abstract

This note deals with the question: what remains of the Burkholder–Davis–Gundy inequalities when stopping times T are replaced by arbitrary random times ρ? We prove that these inequalities still hold when T is a pseudo-stopping time and never holds for ends of predictable sets.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2008
Deposited On:09 Nov 2009 02:20
Last Modified:05 Apr 2016 13:23
Publisher:Elsevier
ISSN:0167-7152
Publisher DOI:https://doi.org/10.1016/j.spl.2007.09.042
Related URLs:http://arxiv.org/abs/math/0505483

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