A Large Deviation Inequality for Continuous-Time Martingales, with Applications.

Abstract

This paper first presents a discrete time martingale exponential bound and then extends it straightforwardly to a large class of continuous time (local) martingales. The resulting inequality yields many known estimates, and some new ones, on the growth and fluctuations of processes which can be expressed as stochastic integrals. Keywords: exponential bounds; Doob Meyer compensator; calculable variance process; maximal inequalities; stochastic integral representation.

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Document Details

Document Type
Technical Report
Publication Date
Jan 10, 1987
Accession Number
ADA176384

Entities

People

  • Eric V. Slud

Organizations

  • University of Maryland

Tags

DTIC Thesaurus Topics

  • Classification
  • Compensators
  • Differential Equations
  • Distribution Functions
  • Equations
  • Inequalities
  • Integrals
  • Maryland
  • Mathematics
  • Military Research
  • New York
  • Partial Differential Equations
  • Probability
  • Probability Distributions
  • Random Variables
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Statistical inference.