How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
This note deals with the question: what remains of the Burkholder-Davis-Gundy inequalities when stopping times T are replaced by arbitrary random times [rho]? We prove that these inequalities still hold when T is a pseudo-stopping time and never holds for ends of predictable sets.
Year of publication: |
2008
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Authors: | Nikeghbali, Ashkan |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 6, p. 766-770
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Publisher: |
Elsevier |
Keywords: | Random times Progressive enlargement of filtrations Martingale inequalities |
Saved in:
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