Work

Weak tail conditions for local martingales

Year: 2019

Type: article

Abstract: The following conditions are necessary and jointly sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (A) The weak tail of the supremum of its modulus is zero; (B) its jumps at the first-exit times from compact intervals converge to zero in $L^{1}$ on the events that those times are finite; and (C) its almost sure limit is an integrable random variable.

Source: The Annals of Probability

DOI: 10.1214/18-aop1302

Authors: Hardy Hulley, Johannes Ruf

Institutions: University of Technology Sydney, London School of Economics and Political Science

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: University of Oxford, University of Technology Sydney

OpenAlex ID: W2200318776