List questions from local-martingales

Published on 12 Jun 2020 - 15:45

88

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A martingale related proof, need help

Published on 13 Jun 2020 - 17:35

165

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Quotient of continuous local martingale with quadratic variation

Published on 16 Jun 2020 - 0:27

108

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Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

Published on 17 Jun 2020 - 19:07

432

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An example to be a local martingale but not a martingale

Published on 25 Jun 2020 - 21:05

272

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Why is this local martingale a martingale?

Published on 29 Sep 2016 - 19:33

73

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The Vacisek Model and the short rate process proof of existing hedge / replicating portfolio

Published on 06 Oct 2016 - 15:40

87

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Question on the proof of the existence of the covariation presented in the book of Kallenberg

Published on 30 Oct 2016 - 11:09

760

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Relative entropy for martingale measures

Published on 31 Oct 2016 - 13:24

268

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If $M$ is a local martingale and $τ_k^n$ is a stopping time, then $t↦\sum_{k∈ℕ}M_{τ_{k-1}^n}\left(M_{τ_k^n∧t}-M_{τ_{k-1}^n∧t}\right)$ is a martingale

Published on 31 Oct 2016 - 19:43

563

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Bounded continuous local martingale of finite variation

Published on 23 Nov 2016 - 10:55

210

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Strict local Martingale arising from Brownian Motion

Published on 08 Jan 2017 - 19:31

419

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Proving a continuous local martingale by ito's formula

Published on 14 Jan 2017 - 15:17

766

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Show $X_t=t\cdot W_{1/t}$ is a martingale using Ito

Published on 28 Jan 2017 - 15:29

1k

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Continuous Local Martingale and Quadratic Variation

Published on 08 Feb 2017 - 6:46

List Question

Stochastic Fubini

A martingale related proof, need help

Quotient of continuous local martingale with quadratic variation

Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

An example to be a local martingale but not a martingale

Why is this local martingale a martingale?

The Vacisek Model and the short rate process proof of existing hedge / replicating portfolio

Question on the proof of the existence of the covariation presented in the book of Kallenberg

Relative entropy for martingale measures

If $M$ is a local martingale and $τ_k^n$ is a stopping time, then $t↦\sum_{k∈ℕ}M_{τ_{k-1}^n}\left(M_{τ_k^n∧t}-M_{τ_{k-1}^n∧t}\right)$ is a martingale

Bounded continuous local martingale of finite variation

Strict local Martingale arising from Brownian Motion

Proving a continuous local martingale by ito's formula

Show $X_t=t\cdot W_{1/t}$ is a martingale using Ito

Continuous Local Martingale and Quadratic Variation

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