Existence of moments of increasing predictable processes associated with one- and two-parameter potentials. (1999)

• Record Type: Journal Article
• Authors: Mishura, Yu.; Oltsik, Ya.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 12:Number 2(1999)
• Page Start: 133
• Page End: 150
• Publication Date: 1999
• Subjects: increasing predictable process -- associated potential -- moments of all orders -- local time -- discontinuous strong martingale; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953399000143
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : The criterion and sufficient condition for the existence of moments of one-parameter increasing predictable processes is presented in terms of an associated potential. The estimates of moments of special functional connected with two-parameter increasing predictable processes are given in the case when the associated potential is bounded. The application of these estimates to the local time for purely discontinuous strong martingales in the plane is also presented.