How badly are the Burholder-Davis-Gundy inequalities affected by arbitrary random times?
Probability
2007-05-23 v1
Abstract
This note deals with the question: what remains of the Burkholder-Davis-Gundy inequalities when stopping times are replaced by arbitrary random times ? We prove that these inequalities still hold when is a pseudo-stopping time and never holds for ends of predictable sets.
Cite
@article{arxiv.math/0505483,
title = {How badly are the Burholder-Davis-Gundy inequalities affected by arbitrary random times?},
author = {Ashkan Nikeghbali},
journal= {arXiv preprint arXiv:math/0505483},
year = {2007}
}