Abstract
We obtain the exponential integrability of the maximal function, the quadratic variation and the conditional quadratic variation of bounded martingales and exponential integrable martingales. Copyright © 2018 NISC (Pty) Ltd.
| Original language | English |
|---|---|
| Pages (from-to) | 201-206 |
| Journal | Quaestiones Mathematicae |
| Volume | 42 |
| Issue number | 2 |
| Early online date | Mar 2018 |
| DOIs | |
| Publication status | Published - 2019 |
Citation
Ho, K.-P. (2019). Exponential integrability of martingales. Quaestiones Mathematicae, 42(2), 201-206. doi: 10.2989/16073606.2018.1443169Keywords
- Martingale
- Maximal function
- Quadratic variation
- Orlicz spaces
- Exponential integrability