Hulley, Hardy and Ruf, Johannes 
ORCID: 0000-0003-3616-2194
(2019)
Weak tail conditions for local martingales.
Annals of Probability, 47 (3).
pp. 1811-1825.
ISSN 0091-1798
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Identification Number: 10.1214/18-AOP1302
Abstract
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag 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.
| Item Type: | Article |
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| Official URL: | https://www.imstat.org/journals-and-publications/a... |
| Additional Information: | © 2018 Institute of Mathematical Statistics |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 27 Jul 2018 09:27 |
| Last Modified: | 11 Dec 2024 21:41 |
| Funders: | Bruti-Liberati Visiting Fellowship Fund |
| URI: | http://eprints.lse.ac.uk/id/eprint/89494 |
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