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3 matches found
XXVII: 16, 159-172, LNM 1557 (1993)
ELWORTHY, Kenneth David; YOR, Marc
Conditional expectations for derivatives of certain stochastic flows
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XXXI: 12, 113-125, LNM 1655 (1997)
ELWORTHY, Kenneth David; LI, Xu-Mei; YOR, Marc
On the tails of the supremum and the quadratic variation of strictly local martingales (Martingale theory)
The asymptotic tails of the current maximum and the quadratic variation of a positive continuous local martingale are compared. Applications to strict local martingales associated with transient diffusions, such as Bessel processes, and remarkable identities for Bessel functions are given
Comment: In discrete time, see the following article 3113. Related results are due to Takaoka 3313
Keywords: Continuous martingales, Local martingales, Quadratic variation, Maximal process
Nature: Original
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XL: 05, 117-136, LNM 1899 (2007)
ELWORTHY, Kenneth David; TRUMAN, Aubrey; ZHAO, Huaizhong
Geeneralized Itô formulae and space-time Lebesgue--Stieltjes integrals of local time