Exponential integrability of martingales

Abstract

We obtain the exponential integrability of the maximal function, the quadratic variation and the conditional quadratic variation of bounded martingales and exponential integrable martingales.

Mathematics Subject Classification (2010): 60G42, 60G46, 46E30, 42B35.

Keywords: Martingale, maximal function, quadratic variation, Orlicz spaces, exponential integrability