Existence of moments of increasing predictable processes associated with one- and two-parameter potentials
It is well known that a predictable increasing process has finite moments of any order if the associated potential is bounded. The authors improve this result showing that a predictable increasing process has finite moments of any order if and only if the supremum (in \(t\)) of the associated potential has finite moments of any order. Then they consider two-parameter potentials associated with two-parameter increasing processes \(A_t\), \(t \in R^2_+\), under Cairoli-Walsh conditions. Defining \(B_t^{(1)}=A_t\), \dots, \(B_t^{(k)} = \int_{[0,t]} B_s^{(k-1)} dA_s\), \dots, they show that \(E B_\infty ^{(k)} < \infty\) for all \(k\) if the associated potential is bounded. These results are used to prove that the local time of a purely discontinuous two-parameter strong martingale has finite moments of all orders.
This page was built for publication: Existence of moments of increasing predictable processes associated with one- and two-parameter potentials
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1307620)
