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A note on the maximal expected local time of $${\text {L}}_2$$ -bounded martingales |
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| Authors: | Gilat David Meilijson Isaac Sacerdote Laura |
| Institution: | 1.School of Mathematical Sciences, Tel Aviv University, 6997801, Tel Aviv, Israel ;2.Department of Mathematics G. Peano, University of Torino, Via Carlo Alberto 10, 10123, Turin, Italy ; |
| Abstract: | Journal of Theoretical Probability - For an $${\text {L}}_2$$ -bounded martingale starting at 0 and having final variance $$\sigma ^2$$ , the expected local time at $$a \in \text {R}$$ is at most... |
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