Main Article Content

Exponential integrability of martingales


Kwok-Pun Ho

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.

Mathematics Subject Classification (2010): 60G42, 60G46, 46E30, 42B35.

Keywords: Martingale, maximal function, quadratic variation, Orlicz spaces, exponential integrability


Journal Identifiers


eISSN: 1727-933X
print ISSN: 1607-3606