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Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826 (e) ISSN 0002-9939 (p)
     

Une propriété de continuité du temps local

Author(s): Lucien Chevalier
Journal: Proc. Amer. Math. Soc. 131 (2003), 933-936.
MSC (2000): Primary 60G44
Posted: October 15, 2002
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Abstract | References | Similar articles | Additional information

Abstract: Let $L^0(M)$ denote the local time (at 0) associated with a martingale $M$. The aim of this note is to prove that the mapping $M \mapsto L^0(M)$ is continuous from $L^1$ into weak-$L^1$.


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M. T. Barlow and M. Yor. Semi-martingale inequalities and local times. Z. Wahrscheinlichkeitstheorie verw. Gebiete. 55 (1981), 237-254. MR 82h:60092

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D. L. Burkholder. Martingale transforms. Ann. Math. Stat. 37 (1966), 1494-1504. MR 34:8456

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P. A. Meyer. Un cours sur les intégrales stochastiques. Séminaire de Probabilités X, Lecture Notes in Mathematics 511, Springer Verlag, Berlin, Heidelberg, New-York (1976), 246-354. MR 58:18721


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Additional Information:

Lucien Chevalier
Affiliation: Institut Fourier, U.M.R. 5582 C.N.R.S., Université Joseph Fourier, B.P. 74, 38402 Saint Martin d'Hères, France
Email: lucchev@fourier.ujf-grenoble.fr

DOI: 10.1090/S0002-9939-02-06731-X
PII: S 0002-9939(02)06731-X
Keywords: Martingales, continuity, local time
Received by editor(s): August 18, 2001
Posted: October 15, 2002
Communicated by: Claudia M. Neuhauser
Copyright of article: Copyright 2002, American Mathematical Society


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