On the tails of the supremum and the quadratic variation of strictly local martingales (Q4349232)
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scientific article; zbMATH DE number 1047459
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| English | On the tails of the supremum and the quadratic variation of strictly local martingales |
scientific article; zbMATH DE number 1047459 |
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4 May 1998
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local martingale
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tails of distribution
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transient diffusion
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Bessel process
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Tauberian theorem
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0.8435868620872498
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0.8182812333106995
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0.8040030002593994
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On the tails of the supremum and the quadratic variation of strictly local martingales (English)
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The authors study the tails of distributions of real continuous strictly local martingales \((M_t,\;t\geq 0)\) which are not martingales. If \(EM_0 <\infty\), then both limits \(\ell=\lim_{x\to\infty} \{xP\{\sup_{t \geq 0}M_t\geq x\}\}\) and \(\sigma =\lim_{y\to\infty}\{yP\{\langle M \rangle^{1/2}_\infty \geq y\}\}\) exist in \(R_+\) and satisfy \(\ell= \sqrt{ {\pi\over 2}} \sigma= E(M_0-M_\infty)\). Some generalizations of this result are proved. Some interesting identities and the asymptotic behavior of regular transient diffusion (for example, a Bessel process with dimension \(d>2)\) are considered as examples. For the entire collection see [Zbl 0864.00069].
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