Local times and almost sure convergence of semi-martingales

MaRDI QIDQ1901158zbMATH OpenFDO

Authors B. Rajeev, Marc Yor

Publication date 1 April 1996

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1995__31_4_653_0, https://eudml.org/doc/77523

zbMATH Keywords

asymptotic behaviourBrownian motionlocal timessemi-martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Local time and additive functionals (60J55)

Review text

If \(h(t)\) is a nonnegative function, \(\{B(t)\}\) a Brownian motion and if \(h(t) B(t)\) converges as \(t \to \infty\), then it must converge to 0, because the set \(\{t : B(t) = 0\}\) is unbounded. Motivated by this example the authors investigate the connection between a.s. convergence of semi-martingales and the asymptotic behaviour of their local times.

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(5)

• Convergence of local supermartingales
• A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales
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• Local Time-Space Calculus for Reversible Semimartingales

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