Abstract
Let be Azéma martingale and its filtration, and let be the local times of the Azéma martingale defined by the following Tanaka formula: Then, for every stopping time T and every p>0, there exist two universal constants cp, Cp >0 depending only on p, such that where .
Citation
Tsung-Ming Chao. Ching-Sung Chou. "On some inequalities of local times for Azéma." Bernoulli 6 (3) 435 - 445, June 2000.
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