On the exponential Orlicz norms of stopped Brownian motion

• Autorzy: Goran Peškir
• Języki publikacji: EN

Abstrakty

EN

Necessary and sufficient conditions are found for the exponential Orlicz norm (generated by $ψ_p(x) = exp(|x|^p)-1$ with 0 < p ≤ 2) of $max_{0≤t≤τ}|B_t|$ or $|B_τ|$ to be finite, where $B = (B_t)_{t≥0}$ is a standard Brownian motion and τ is a stopping time for B. The conditions are in terms of the moments of the stopping time τ. For instance, we find that $∥max_{0≤t≤τ}|B_t|∥_{ψ_1} < ∞$ as soon as $E(τ^{k}) = O(C^{k}k^{k})$ for some constant C > 0 as k → ∞ (or equivalently $∥τ∥_{ψ_1} < ∞$). In particular, if τ ∼ Exp(λ) or $|N(0,σ^2)|$ then the last condition is satisfied, and we obtain $∥max_{0≤t≤τ}|B_t|∥_{ψ_1} ≤ K √{E(τ)}$ with some universal constant K > 0. Moreover, this inequality remains valid for any class of stopping times τ for B satisfying $E(τ^{k}) ≤ C(Eτ)^{k}k^{k}$ for all k ≥ 1 with some fixed constant C > 0. The method of proof relies upon Taylor expansion, Burkholder-Gundy's inequality, best constants in Doob's maximal inequality, Davis' best constants in the $L^p$-inequalities for stopped Brownian motion, and estimates of the smallest and largest positive zero of Hermite polynomials. The results extend to the case of any continuous local martingale (by applying the time change method of Dubins and Schwarz).

Słowa kluczowe

EN

Brownian motion (Wiener process); stopping time; exponential Young function; exponential Orlicz norm; Doob's maximal inequality for martingales; Burkholder-Gundy's inequality; Davis' best constants; Hermite polynomial; continuous (local) martingale; Ito's integral; the quadratic variation process; time change (of Brownian motion); Kahane-Khinchin's inequalities

Kategorie tematyczne

• 60G40: Stopping times; optimal stopping problems; gambling theory
• 46E30: Spaces of measurable functions ( L p -spaces, Orlicz spaces, K\"othe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.)
• 60G44: Martingales with continuous parameter
• 60H05: Stochastic integrals
• 60J65: Brownian motion

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Studia Mathematica
• Rocznik: 1995-1996
• Tom: 117
• Numer: 3
• Strony: 253-273

Daty

wydano

1996

otrzymano

1995-05-04

Twórcy

autor

Goran Peškir

• Institute of Mathematics, University of Aarhus, Ny Munkegade, 8000 Aarhus, Denmark,
• Department of Mathematics, University of Zagreb, Bijenička 30, 41000 Zagreb, Croatia

Bibliografia

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