On some inequalities of local times for Azéma martingales (Q1572828)
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scientific article; zbMATH DE number 1484639
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| English | On some inequalities of local times for Azéma martingales |
scientific article; zbMATH DE number 1484639 |
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On some inequalities of local times for Azéma martingales (English)
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6 August 2000
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The so-called Azéma martingale is the optional projection of a Brownian motion starting at 0 onto the filtration generated by its sign process. In a similar way to the case of Brownian motion, there exists a local time associated with this martingale which gives rise to an occupation density formula. The main result of this paper is a Burkholder-type inequality involving stopping times and space suprema of the local time evaluated at the same time.
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Azéma martingale
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local time
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Garsia-Rodemich-Rumsey lemma
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0.7864847183227539
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0.7862254977226257
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0.7854427099227905
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