The maximal variation of a bounded martingale and the central limit theorem

Annales de l'institut Henri Poincare (B) Probability and Statistics

Volumn 34, Issue 1, 1998, Pages 49-59

  De Meyer, Bernard ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21844438000     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0246-0203(98)80017-4     Document Type: Article

References (4)

1. D. L. BURKHOLDER, Distribution function inequalities for martingales, The Annals of Probability, Vol. 1, 1973, pp. 19-42.
2. J.-F. MERTENS and S. ZAMIR, The normal distribution and Repeated games, International Journal of Game Theory, Vol. 5, 1976, pp. 187-197.
3. J.-F. MERTENS and S. ZAMIR, The maximal variation of a bounded martingale, Israel Journal of Mathematics, Vol. 27, 1977, pp. 252-276.
4. D. REVUZ and M. YOR, Continuous Martingales and Brownian Motion, Springer, Berlin, Heidelberg, New York, 1990.