XXVII: 16, 159-172, LNM 1557 (1993)
ELWORTHY, Kenneth David;
YOR, Marc
Conditional expectations for derivatives of certain stochastic flows
Retrieve article from Numdam
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
3313Keywords: Continuous martingales,
Local martingales,
Quadratic variation,
Maximal processNature: Original Retrieve article from Numdam
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
