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 en_US
dc.personcode 991062 en_US
dc.percentage 40 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 991062 en_US


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