List questions from local-martingales

68

Views

If $\mathbb{E}[\underset{0 \leq s \leq t}{\sup} \rvert X_s \rvert] < \infty$ for $X_t$ a local martingale, is $X_t$ a proper martingale?

Published on 14 May 2019 - 10:59

480

Views

Martingality of a Doleans-Dade exponential local martingale.

Published on 20 May 2019 - 15:47

274

Views

Bound on supremum of local martingale

Published on 23 Feb 2026 - 1:21

33

Views

When is the limit of a parameterized family of martingales also a martingale?

Published on 13 Jun 2019 - 16:16

117

Views

Limiting expectation of a uniformly integrable local martingale.

Published on 16 Aug 2019 - 10:23

209

Views

Expectation of a local martingale

Published on 19 Sep 2019 - 5:11

406

Views

Covariation of product of local martingales

Published on 22 Sep 2019 - 12:57

528

Views

Stopping Time with local martingale

Published on 27 Sep 2019 - 10:58

934

Views

l1-bounded local martingale is uniformly integrable martingale

Published on 20 Oct 2019 - 6:58

334

Views

Compare Doob décomposition for stochastic process $(X_t)_{t\geq 0}$ and $(X_n)_{n\in\mathbb N}$

Published on 30 Oct 2019 - 16:38

144

Views

Showing a randomly scaled Brownian motion is a (local) Martingale.

Published on 04 Nov 2019 - 18:10

240

Views

Representation of stochastic integral w.r.t. semimartingale with finitely many jumps in finite time

Published on 13 Nov 2019 - 10:22

156

Views

A specific local martingale

Published on 18 Nov 2019 - 8:53

827

Views

Local martingale property for stochastic integrals.

Published on 23 Jan 2020 - 12:08

357

Views

How to show this is not a martingale.

Published on 30 Jan 2020 - 12:08

List Question

If $\mathbb{E}[\underset{0 \leq s \leq t}{\sup} \rvert X_s \rvert] < \infty$ for $X_t$ a local martingale, is $X_t$ a proper martingale?

Martingality of a Doleans-Dade exponential local martingale.

Bound on supremum of local martingale

When is the limit of a parameterized family of martingales also a martingale?

Limiting expectation of a uniformly integrable local martingale.

Expectation of a local martingale

Covariation of product of local martingales

Stopping Time with local martingale

l1-bounded local martingale is uniformly integrable martingale

Compare Doob décomposition for stochastic process $(X_t)_{t\geq 0}$ and $(X_n)_{n\in\mathbb N}$

Showing a randomly scaled Brownian motion is a (local) Martingale.

Representation of stochastic integral w.r.t. semimartingale with finitely many jumps in finite time

A specific local martingale

Local martingale property for stochastic integrals.

How to show this is not a martingale.

Trending Questions

Popular # Hahtags

Popular Questions