What random variable generates a bounded potential?

DOI10.1155/S104895330420301XMaRDI QIDQ1773282zbMATH OpenFDO

Authors M. V. Kartashov, Yuliya S. Mishura

Publication date 26 April 2005

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/52024

zbMATH Keywords

predictable processes

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Probabilistic potential theory (60J45)

Review text

Suppose that \(\{X_t, {\mathcal F}_t\}\) is a potential with the decomposition \(X_t=M_t-A_t\), where \(M_t\) is a martingale and \(A_t\) a nondecreasing right continuous predictable process with \(A_0=0\). It is well known that if \(X_t\) is a potential bounded by a positive number \(c_0\), then the random variable \(\xi=A_{\infty}\) satisfies the Garsia inequality \(EG(\xi)\leq c_0Eg(\xi)\), where \(g:R_+\mapsto R_+\) is any nondecreasing function and \(G(t)=\int^t_0g(u)\,du\). The authors study the inverse question and obtain the result that any nonnegative random variable \(\xi\) satisfying the Garsia inequality predictably generates a bounded potential.

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