Question

Martingale with respect to different filtration

score 43 · Answer 1 · 2021-11-04 20:57:39

43

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Martingale with respect to different filtration

Published on 04 Nov 2021 - 20:57

score 43 · Answer 2 · 2021-12-05 16:02:37

43

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Is possible to construct a "relevant information theory" from the notion of filtration?

Published on 05 Dec 2021 - 16:02

score 218 · Answer 3 · 2021-12-16 05:07:07

218

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Example/meaning of filtration on a group $(\mathbb{R},+)$

Published on 16 Dec 2021 - 5:07

score 68 · Answer 4 · 2021-12-16 10:32:34

68

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Existence of a filtration with respect to which a sequence becomes a martingale difference.

Published on 16 Dec 2021 - 10:32

score 154 · Answer 5 · 2022-01-05 15:41:05

154

Views

Does $Y$ $\mathcal{F_t}$-adapted and $X$ adapted to $Y$ imply that $X$ is $\mathcal{F_t}$-adapted?

Published on 05 Jan 2022 - 15:41

score 65 · Answer 6 · 2022-01-06 04:26:51

65

Views

When $\mathbb{P}(C\cup D) = 0$? (Martingale)

Published on 06 Jan 2022 - 4:26

score 94 · Answer 7 · 2022-02-15 18:42:49

94

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What is the spectral sequence associated to this filtration on the de Rham complex?

Published on 15 Feb 2022 - 18:42

score 79 · Answer 8 · 2022-02-17 06:15:56

79

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If $0 < S < T$ are stopping times, and $A \in \mathcal{F}_S$ show that $T = S1_A + T1_{A^c}$ is a stopping time.

Published on 17 Feb 2022 - 6:15

score 510 · Answer 9 · 2026-03-26 23:09:24

510

Views

How do we naturally extend the average from the Hausdorff Measure for functions with a domain without a gauge function?

Published on 26 Mar 2026 - 23:09

score 85 · Answer 10 · 2022-02-24 11:40:58

85

Views

$A(t)=\int_{0}^{t} I_{(X\geq u)} \,dΛ(u)$ is a predictable process

Published on 24 Feb 2022 - 11:40

score 110 · Answer 11 · 2022-02-27 16:24:07

110

Views

Solution of stochastic differnetial equation adapted?

Published on 27 Feb 2022 - 16:24

score 59 · Answer 12 · 2022-03-02 19:36:54

59

Views

How to show $\mathbb{E}(Y_{n+1}^{2} | \mathcal{F}_{n}) = \mu^{2} Y_{n}^{2} + \sigma^{2} Y_{n}$? (Unanswered repost)

Published on 02 Mar 2022 - 19:36

score 85 · Answer 13 · 2022-03-09 09:44:59

85

Views

Characterizing strict morphisms in the category of bifiltered vector spaces

Published on 09 Mar 2022 - 9:44

score 40 · Answer 14 · 2022-03-09 17:10:34

40

Views

What is joint filtration?

Published on 09 Mar 2022 - 17:10

score 251 · Answer 15 · 2022-03-12 00:35:24

251

Views

Karatzas and Shreve Exercise 1.8: If paths of process $X$ are RCLL almost surely, show that $A$ can fail to be in $\mathscr{F}_{t_0}^X$

Published on 12 Mar 2022 - 0:35

List Question

Martingale with respect to different filtration

Is possible to construct a "relevant information theory" from the notion of filtration?

Example/meaning of filtration on a group $(\mathbb{R},+)$

Existence of a filtration with respect to which a sequence becomes a martingale difference.

Does $Y$ $\mathcal{F_t}$-adapted and $X$ adapted to $Y$ imply that $X$ is $\mathcal{F_t}$-adapted?

When $\mathbb{P}(C\cup D) = 0$? (Martingale)

What is the spectral sequence associated to this filtration on the de Rham complex?

If $0 < S < T$ are stopping times, and $A \in \mathcal{F}_S$ show that $T = S1_A + T1_{A^c}$ is a stopping time.

How do we naturally extend the average from the Hausdorff Measure for functions with a domain without a gauge function?

$A(t)=\int_{0}^{t} I_{(X\geq u)} \,dΛ(u)$ is a predictable process

Solution of stochastic differnetial equation adapted?

How to show $\mathbb{E}(Y_{n+1}^{2} | \mathcal{F}_{n}) = \mu^{2} Y_{n}^{2} + \sigma^{2} Y_{n}$? (Unanswered repost)

Characterizing strict morphisms in the category of bifiltered vector spaces

What is joint filtration?

Karatzas and Shreve Exercise 1.8: If paths of process $X$ are RCLL almost surely, show that $A$ can fail to be in $\mathscr{F}_{t_0}^X$

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