Moments of Hölder coefficients on random time intervals
Abstract
We show existence of moments for Hölder coefficients up to a random time. Our result applies to general processes satisfying Kolmogorov’s tightness criterion and (unbounded) random times with a higher moment. The proof is based on a ramification of Kolmogorov’s classical dyadic numbers argument. We illustrate the result for diffusions and BSDEs on unbounded time horizons.
Fields of Study & Subjects
Stochastic processes and financial applications
Diffusion and Search Dynamics
Stochastic processes and statistical mechanics
Publication details
- Journal / source
- Statistics & Probability Letters
- Volume
- 232
- Pages
- 110634–110634
- Publication date
- 9 January 2026
- Language
- EN