List questions from local-martingales

Published on 05 Jan 2021 - 8:31

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Finding a stochastic process from Ito’s lemme on $Y_t$ such that $\int_0^1Y_s\,\mathrm{d}B_s= B_1-2B_1\mathbb{I}_{|B_1|}$

Published on 06 Jan 2021 - 21:13

159

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Stochastic integral over an $L^2_\text{loc}$ function is a continuous local martingale

Published on 11 Jan 2021 - 6:31

83

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Understanding of definition of a local martingale

Published on 13 Jan 2021 - 11:46

185

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Properties of Quadratic Covariation

Published on 22 Jan 2021 - 21:21

61

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local martingale?

Published on 06 May 2021 - 21:55

59

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Are all local martingales continuous in probability?

Published on 14 May 2021 - 9:52

296

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local martingale remains local martingale when lowering the localizing stopping times

Published on 27 May 2021 - 15:07

176

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stochastic exponential of continuous local martingale is local martingale

Published on 15 Jun 2021 - 15:45

437

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Potential Local Martingale property derived from its quadratic variation

Published on 18 Jun 2021 - 2:10

339

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$e^{X_t}$ is martingale using Ito's Formula

Published on 16 Jul 2021 - 18:38

276

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Quadratic variation of a stochastic integral w.r.t. a local martingale

Published on 20 Jul 2021 - 14:47

65

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Why do we need continuity for the convergence of the localized martingale?

Published on 23 Jul 2021 - 23:13

92

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How can I make the following expression to be a martingale?

Published on 24 Jul 2021 - 16:18

80

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On different definitions of local martingale

Published on 25 Jul 2021 - 6:22

List Question

How to determine if the process is martingale?

Finding a stochastic process from Ito’s lemme on $Y_t$ such that $\int_0^1Y_s\,\mathrm{d}B_s= B_1-2B_1\mathbb{I}_{|B_1|}$

Stochastic integral over an $L^2_\text{loc}$ function is a continuous local martingale

Understanding of definition of a local martingale

Properties of Quadratic Covariation

local martingale?

Are all local martingales continuous in probability?

local martingale remains local martingale when lowering the localizing stopping times

stochastic exponential of continuous local martingale is local martingale

Potential Local Martingale property derived from its quadratic variation

$e^{X_t}$ is martingale using Ito's Formula

Quadratic variation of a stochastic integral w.r.t. a local martingale

Why do we need continuity for the convergence of the localized martingale?

How can I make the following expression to be a martingale?

On different definitions of local martingale

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