On some inequalities of local times for Azéma martingales

DOI10.2307/3318669MaRDI QIDQ1572828zbMATH OpenOpenAlexFDO

Authors Tsung-Ming Chao, Ching-Sung Chou

Publication date 6 August 2000

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3318669

zbMATH Keywords

Azéma martingaleGarsia-Rodemich-Rumsey lemmalocal time

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Review text

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.

Recommendations

• scientific article; zbMATH DE number 4018017
• scientific article; zbMATH DE number 18205
• Occupation times and beyond.
• Some inequalities with local times in zero of a Brownian motion
• Control of the norm H^ p of a martingale by the maxima of local times

Cited in

(6)

• A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales
• scientific article; zbMATH DE number 140555 (Why is no real title available?)
• A note on the domination inequalities and their applications
• scientific article; zbMATH DE number 4123005 (Why is no real title available?)
• Azéma's martingale
• A class of remarkable submartingales

This page was built for publication: On some inequalities of local times for Azéma martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1572828)