Tail distributions of supremum and quadratic variation of local Martingales
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| dc.contributor.author | Lipster R | en_US |
| dc.contributor.author | Novikov Alex | en_US |
| dc.contributor.editor | Kubanov Y; Lipster R; Stoyanov J | en_US |
| dc.date.accessioned | 2010-06-16T04:55:06Z | |
| dc.date.available | 2010-06-16T04:55:06Z | |
| dc.date.issued | 2006 | en_US |
| dc.identifier | 2006005400 | en_US |
| dc.identifier.citation | Lipster R and Novikov Alex 2006, 'Tail distributions of supremum and quadratic variation of local Martingales', Springer, Heidelberg, Germany, pp. 421-432. | en_US |
| dc.identifier.issn | 3-540-30782-6 | en_US |
| dc.identifier.other | B1 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10453/11618 | |
| dc.description.abstract | 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. | en_US |
| dc.language | en_US | |
| dc.publisher | Springer | en_US |
| dc.relation.isbasedon | en_US | |
| dc.title | Tail distributions of supremum and quadratic variation of local Martingales | en_US |
| dc.parent | From Stochastic Calculus to Mathematical Finance | en_US |
| dc.journal.volume | en_US | |
| dc.journal.number | en_US | |
| dc.publocation | Heidelberg, Germany | en_US |
| dc.identifier.startpage | 421 | en_US |
| dc.identifier.endpage | 432 | en_US |
| dc.cauo.name | SCI.Mathematical Sciences | en_US |
| dc.conference | Verified OK | en_US |
| dc.for | 010406 | en_US |
| dc.personcode | 0000028664;991062 | en_US |
| dc.percentage | 000040 | en_US |
| dc.classification.name | Stochastic Analysis and Modelling | en_US |
| dc.classification.type | FOR-08 | en_US |
| dc.edition | 1 | en_US |
| dc.custom | en_US | |
| dc.date.activity | en_US | |
| dc.location.activity | en_US | |
| dc.description.keywords | distribution tails, Martinagales with jumps | en_US |
| dc.staffid | Tel Aviv University | en_US |
