Publication: How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
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Nikeghbali, A. (2008). How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times? Statistics and Probability Letters, 78(6), 766–770. https://doi.org/10.1016/j.spl.2007.09.042
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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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- Nikeghbali, A
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Nikeghbali, A. (2008). How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times? Statistics and Probability Letters, 78(6), 766–770. https://doi.org/10.1016/j.spl.2007.09.042
