A note on the maximal expected local time of L 2 -bounded martingales

David Gilat, Isaac Meilijson, Laura Sacerdote

Research output: Contribution to journalArticlepeer-review

Abstract

For an L 2-bounded martingale starting at 0 and having final variance σ2, the expected local time at a∈ R is at most σ2+a2-|a|. This sharp bound is attained by Standard Brownian Motion stopped at the first exit time from the interval (a-σ2+a2,a+σ2+a2). In particular, the maximal expected local time anywhere is at most σ, and this bound is sharp. Sharp bounds for the expected maximum, maximal absolute value, maximal diameter and maximal number of upcrossings of intervals have been established by Dubins and Schwarz (Societé Mathématique de France, Astérisque 157(8), 129–145 1988), by Dubins et al. (Ann Probab 37(1), 393–402 2009) and by the authors (2018).

Original languageEnglish
JournalJournal of Theoretical Probability
DOIs
StateAccepted/In press - 2021

Keywords

  • Brownian motion
  • Local time
  • Martingale
  • Upcrossings

Fingerprint

Dive into the research topics of 'A note on the maximal expected local time of L 2 -bounded martingales'. Together they form a unique fingerprint.

Cite this