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Some remarks on the uniform integrability of continuous martingales

  • Théorie des Martingales
  • Conference paper
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Séminaire de Probabilités XXXIII

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 1709))

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References

  1. Azéma, J., Gundy, R.F., Yor, M.: Sur l'intégrabilité uniforme des martingales continues. Séminaire de Probabilités XIV, LNM 784, Springer (1980), pp. 53–61.

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  2. Elworthy, K.D., Li, X.M., Yor, M.: On the tails of the suprenum and the quadratic variation of strictly local martingales. Séminaire de Probabilités XXXI, LNM 1655, Springer (1997), pp. 113–125.

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  3. Elworthy, K.D., Li, X.M., Yor, M.: The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Submitted to Probab. Theory Relat. Fields.

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  4. Galtchouk, L.I., Novikov, A.A.: On Wald's equation. Discrete time case. Séminaire de Probabilités XXXI, LNM 1655, Springer (1997), pp. 126–135.

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  5. Kazamaki, N.: Continuous Exponential Martingales and BMO. LNM 1579, Springer (1994).

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  6. Revuz, D., Yor, M.: Continuous Martingales and Brownian Motion, Second edition. Springer (1994).

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  7. Sato, H.: Uniform integrabilities of an additive martingale and its exponential. Stochastics and Stochastics Reports 30 (1990), 163–169.

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Authors

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Jacques Azéma Michel Émery Michel Ledoux Marc Yor

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© 1999 Springer-Verlag

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Takaoka, K. (1999). Some remarks on the uniform integrability of continuous martingales. In: Azéma, J., Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXIII. Lecture Notes in Mathematics, vol 1709. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0096521

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  • DOI: https://doi.org/10.1007/BFb0096521

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-66342-3

  • Online ISBN: 978-3-540-48407-3

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