On the embedding of processes in Brownian motion and the law of the iterated logarithm for reverse martingales-Reference-Cited by-同舟云学术

On the embedding of processes in Brownian motion and the law of the iterated logarithm for reverse martingales

Published:1983-06 Issue:3 Volume:27 Page:443-459
ISSN:0004-9727
Container-title:Bulletin of the Australian Mathematical Society
language:en
Short-container-title:Bull. Austral. Math. Soc.

Author:

Scott D.J.,Huggins R.M.

Abstract

Techniques from martingale theory are used to obtain the Skorokhod embedding of reverse martingales in Brownian motion. This result is then used to obtain a functional law of the iterated logarithm for reverse martingales.

Publisher

Cambridge University Press (CUP)

Subject

General Mathematics

Reference16 articles.

1. A reduction of continuous square-integrable martingales to Brownian motion

2. The Existence of Certain Stopping Times on Brownian Motion

3. Stopping times on Brownian motion: Some properties of root's construction

4. On Square Integrable Martingales

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