A note on the maximal expected local time of L₂-bounded martingales

DOI10.1007/S10959-021-01118-0MaRDI QIDQ2079157zbMATH OpenOpenAlexFDO

Authors David Gilat, Isaac Meilijson, Laura Sacerdote

Publication date 29 September 2022

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-021-01118-0

zbMATH Keywords

Brownian motionlocal timemartingaleupcrossings

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cites work

• A decomposition theorem for supermartingales
• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• Decomposition of supermartingales: The uniqueness theorem
• scientific article; zbMATH DE number 4098413 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 3052578 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• On the expected diameter of an \(L_{2}\)-bounded martingale

Cited in

(1)

• On the expected diameter of an \(L_{2}\)-bounded martingale

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