Exponential integrability of martingales

Article

Exponential integrability of martingales

Published in: Quaestiones Mathematicae
Volume 42 , issue 2 , 2019 , pages: 201–206
DOI: 10.2989/16073606.2018.1443169
Author(s): Kwok-Pun Ho Department of Mathematics and Information Technology, China
Keywords: 60G42 , 60G46 , 46E30 , 42B35 , 60G42 , 60G46 , 46E30 , 42B35
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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.
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