D. Gilat

collaborators

2 papers

math.PR2020

A sharp bound on the expected local time of a continuous $L_{2}$ -bounded Martingale

David Gilat, Isaac Meilijson, Laura Sacerdote

For a continuous $L_{2}$ -bounded Martingale with no intervals of constancy, starting at $0$ and having final variance $σ^{2}$ , the expected local time at $x \in R$ is at m…

math.PR2008

On the expected diameter of an L2-bounded martingale

Lester E. Dubins, David Gilat, Isaac Meilijson

It is shown that the ratio between the expected diameter of an L2-bounded martingale and the standard deviation of its last term cannot exceed sqrt(3). Moreover, a one-parameter fa…

A sharp bound on the expected local time of a continuous L2​-bounded Martingale

On the expected diameter of an L2-bounded martingale

A sharp bound on the expected local time of a continuous $L_{2}$ -bounded Martingale