A note on the maximal expected local time of $${\text {L}}_2$$-bounded martingales

Author:

Gilat David,Meilijson IsaacORCID,Sacerdote Laura

Funder

INDAM-GNCS

Israel Science Foundation

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference10 articles.

1. Björk, T.: The pedestrian guide to local time. arXiv:1512.08912v1 [math.PR] 30 Dec 2015 (2015)

2. Doob, J.L.: Stochastic Processes. Wiley, New Jersey (1953)

3. Dubins, L.E., Schwarz, G.: A sharp inequality for sub-martingales and stopping-times. Societé Mathématique de France, Astérisque 157(8), 129–145 (1988)

4. Dubins, L.E., Gilat, D., Meilijson, I.: On the expected diameter of an $$L_2$$-bounded martingale. Ann. Probab. 37(1), 393–402 (2009)

5. Gilat, D., Meilijson, I., Sacerdote, L.: A sharp bound on the expected number of upcrossings of an $$L_2$$-bounded Martingale. Stoch. Proc. Appl. 128, 1849–1856 (2018)

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