# A sharp bound on the expected number of upcrossings of an L2-bounded Martingale

David Gilat, Isaac Meilijson*, Laura Sacerdote

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

## Abstract

For a martingale M starting at x with final variance σ2, and an interval (a,b), let Δ=[Formula presented] be the normalized length of the interval and let δ=[Formula presented] be the normalized distance from the initial point to the lower endpoint of the interval. The expected number of upcrossings of (a,b) by M is at most [Formula presented] if Δ2≤1+δ2 and at most [Formula presented] otherwise. Both bounds are sharp, attained by Standard Brownian Motion stopped at appropriate stopping times. Both bounds also attain the Doob upper bound on the expected number of upcrossings of (a,b) for submartingales with the corresponding final distribution. Each of these two bounds is at most [Formula presented], with equality in the first bound for δ=0. The upper bound [Formula presented] on the length covered by M during upcrossings of an interval restricts the possible variability of a martingale in terms of its final variance. This is in the same spirit as the Dubins & Schwarz sharp upper bound σ on the expected maximum of M above x, the Dubins & Schwarz sharp upper bound σ2 on the expected maximal distance of M from x, and the Dubins, Gilat & Meilijson sharp upper bound σ3 on the expected diameter of M.

Original language English 1849-1856 8 Stochastic Processes and their Applications 128 6 https://doi.org/10.1016/j.spa.2017.08.012 Published - Jun 2018

## Keywords

• Brownian Motion
• Martingale
• Optimal stopping
• Upcrossings

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