We prove the existence (in the sense of L 0 convergence) of L 1 -bounded strong martingales. The proof is through stochastic integrals with respect to strong martingales. The continuity is an easy consequence of the fact that the Q.V. of a strong martingale is equal to the Q.V. of ...
two-parameter martingales quadratic variation point jumps axial jumps continuityIt has been known that any L log + L-integrable two-parameter martingale M possesses a quadratic variation [ M]. We show that the continuity properties of M are inherited by its quadratic variation. If M has no ...
英 un.二次变差 网络二次变分;二次变异;二阶变分 英汉 网络释义 un. 1. 二次变差 例句 释义: 全部,二次变差,二次变分,二次变异,二阶变分 更多例句筛选 1. QuadraticVariationofLocalSquareStrong Martingale 局部平方可积强鞅的二次变差 scholar.ilib.cn...
We extend some known results concerning the distribution tails of supremum and quadratic variation of a continuous local martingale tothe case of locally square integrable martingales with bounded jumps. The predictable and optional quadratic vairations are involved inthe main result.doi:10.1007/978-3-...
MartingaleQuadratic variationStochastic processStopping timeVector latticeWe define and study order continuity, topological continuity, γ-Hölder-continuity and Kolmogorov–Čentsov-continuity of continuous-time stochastic processes in vector lattices and show that every such kind of continuous submartingale...
The second part presents the results of recent research by the author on martingale theory and stochastic calculus for two-parameter processes. Both the results and the methods of these two chapters are almost entirely new, and are of particular interest. They provide the fundamentals of a ...
The second part presents the results of recent research by the author on martingale theory and stochastic calculus for two-parameter processes. Both the results and the methods of these two chapters are almost entirely new, and are of particular interest. They provide the fundamentals of a ...
, S´eminaire de Probabilit´es XLI, Volume 1934 of Lecture Notes in Mathematics, pp. 401-420. Berlin: Springer.Kaji, S. (2008). On the tail distributions of the supremum and the quadratic variation of a c`adl`ag local martingale. In C. Donati-Martin, M. E´mery, A. Rouault...
The tail estimation of the quadratic variation of a quasi left continuous local martingale. Osaka J. Math.44, no. 4, 893-907.S. Kaji. The tail estimation of the quadratic variation of a quasi left continuous local martingale. Osaka J. Math., 44(4):893-907, 2007....
This paper posits that when an asset exhibits a bubble, its price process can be unbounded from above in finite time with positive probability if a quadratic variation (QV) risk premium is large enough. Based on the local martingale theory of bubbles, we provide sufficient conditions under ...