List questions from local-martingales

Published on 30 Oct 2017 - 22:04

336

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Exponential martingales and changes of measure

Published on 04 Dec 2017 - 20:02

33

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Localization of localizations of previsible processes is a localized process from Rogers Wiliams

Published on 06 Aug 2020 - 2:47

204

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Interpretation of Gisarnovs theorem

Published on 21 Sep 2020 - 4:36

839

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Is the exponential martingale of Brownian motion uniformly absolutely continuous?

Published on 14 Oct 2020 - 23:30

70

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Covariation of density process in Girsanov's Theorem

Published on 20 Oct 2020 - 15:22

207

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Using various inequalities to prove this martingale inequality?

Published on 30 Oct 2020 - 2:42

264

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Question about Protter's proof that a Cadlag, locally square integrable local martingale is a semimartingale

Published on 11 Nov 2020 - 6:10

262

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Exit and hitting times for the Bessel process $\textrm{d}X_t=\frac{n-1}2\frac{\textrm{d}t}{X_t}+\textrm{d}B_t$

Published on 17 Nov 2020 - 22:14

298

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Local times and quadratic variation

Published on 27 Nov 2020 - 23:37

99

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Show tilting measure is martingale

Published on 08 Dec 2020 - 3:39

94

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How to prove that this stochastic process converges in mean square as $t \to \infty$

Published on 09 Dec 2020 - 19:26

71

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Semimartingales and continuously differentiable functions

Published on 20 Dec 2020 - 0:10

93

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Inequality with local martingale (find sharp estimate for $\mathbb{P}(M_t\geq \alpha)$)

Published on 22 Dec 2020 - 15:15

49

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Karatzas&Shreve 5.4.33 - Equivalence of Three Local Martingales

Published on 24 Dec 2020 - 16:58

List Question

I've found two definitions of a localizing sequence. Does one of them have some drawbacks?

Exponential martingales and changes of measure

Localization of localizations of previsible processes is a localized process from Rogers Wiliams

Interpretation of Gisarnovs theorem

Is the exponential martingale of Brownian motion uniformly absolutely continuous?

Covariation of density process in Girsanov's Theorem

Using various inequalities to prove this martingale inequality?

Question about Protter's proof that a Cadlag, locally square integrable local martingale is a semimartingale

Exit and hitting times for the Bessel process $\textrm{d}X_t=\frac{n-1}2\frac{\textrm{d}t}{X_t}+\textrm{d}B_t$

Local times and quadratic variation

Show tilting measure is martingale

How to prove that this stochastic process converges in mean square as $t \to \infty$

Semimartingales and continuously differentiable functions

Inequality with local martingale (find sharp estimate for $\mathbb{P}(M_t\geq \alpha)$)

Karatzas&Shreve 5.4.33 - Equivalence of Three Local Martingales

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