Question

covariation of semimartingales

score 146 · Answer 1 · 2021-09-11 21:56:30

146

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covariation of semimartingales

Published on 11 Sep 2021 - 21:56

score 237 · Answer 2 · 2021-10-27 17:10:41

237

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How to prove that $(UM_t)_{t \geq 0}$ is a Continuous Local Martingale?

Published on 27 Oct 2021 - 17:10

score 338 · Answer 3 · 2021-12-19 10:35:33

338

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Inverse of norm of Brownian motion is a semi-martingale.

Published on 19 Dec 2021 - 10:35

score 88 · Answer 4 · 2022-01-07 10:51:22

88

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How to prove CLT for predictable quadratic variation $\langle X_n \rangle$ for a martingale $X_n$

Published on 07 Jan 2022 - 10:51

score 39 · Answer 5 · 2022-01-10 11:35:55

39

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Why can we use limit inferior to calculate the expected value of a stopped process?

Published on 10 Jan 2022 - 11:35

score 119 · Answer 6 · 2022-02-02 21:34:33

119

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A discrete local martingale which is integrable for some random $T>0$ is a true martingale up to time $T$.

Published on 02 Feb 2022 - 21:34

score 69 · Answer 7 · 2022-02-08 16:17:57

69

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Preservation of the local martingale property under the right-continuous filtration

Published on 08 Feb 2022 - 16:17

score 56 · Answer 8 · 2022-02-17 14:11:08

56

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How to show that if for every stopping time T $\mathbb{E}[X_T] = \mathbb{E}[Y_T]$, then $(X_t-Y_t)_{t\geq 0}$ is a martingale that starts in $0$.

Published on 17 Feb 2022 - 14:11

score 77 · Answer 9 · 2022-03-11 01:56:23

77

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The expected squared increment of a continuous local martingale

Published on 11 Mar 2022 - 1:56

score 263 · Answer 10 · 2022-03-13 17:16:11

263

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Show that if $(M_t)_{t \in [0,T]}$ is a non-negative and strict local martingale on [0,T] we have $\mathop{\mathbb{E}}[M_T] < M_0$.

Published on 13 Mar 2022 - 17:16

score 204 · Answer 11 · 2022-03-14 22:28:20

204

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Is there a problem of the proof about local martingale is Martingale?

Published on 14 Mar 2022 - 22:28

score 590 · Answer 12 · 2022-04-15 15:11:16

590

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Show that a local martingale is a true martingale if and only if it is a process of class DL

Published on 15 Apr 2022 - 15:11

score 228 · Answer 13 · 2022-04-30 16:14:44

228

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Probability of stopping time being finite.

Published on 30 Apr 2022 - 16:14

score 108 · Answer 14 · 2022-05-01 01:30:54

108

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A local martingale subtract half its quadratic variation tends to negative infinity

Published on 01 May 2022 - 1:30

score 204 · Answer 15 · 2022-05-02 03:03:10

204

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Relation between supremum of quadratic variation expectation with expectation of supremum of martingale

Published on 02 May 2022 - 3:03

List Question

covariation of semimartingales

How to prove that $(UM_t)_{t \geq 0}$ is a Continuous Local Martingale?

Inverse of norm of Brownian motion is a semi-martingale.

How to prove CLT for predictable quadratic variation $\langle X_n \rangle$ for a martingale $X_n$

Why can we use limit inferior to calculate the expected value of a stopped process?

A discrete local martingale which is integrable for some random $T>0$ is a true martingale up to time $T$.

Preservation of the local martingale property under the right-continuous filtration

How to show that if for every stopping time T $\mathbb{E}[X_T] = \mathbb{E}[Y_T]$, then $(X_t-Y_t)_{t\geq 0}$ is a martingale that starts in $0$.

The expected squared increment of a continuous local martingale

Show that if $(M_t)_{t \in [0,T]}$ is a non-negative and strict local martingale on [0,T] we have $\mathop{\mathbb{E}}[M_T] < M_0$.

Is there a problem of the proof about local martingale is Martingale?

Show that a local martingale is a true martingale if and only if it is a process of class DL

Probability of stopping time being finite.

A local martingale subtract half its quadratic variation tends to negative infinity

Relation between supremum of quadratic variation expectation with expectation of supremum of martingale

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