List questions from local-martingales

Published on 19 Feb 2017 - 7:54

196

Views

Showing $E(X_T ^2)\le E([X]_T)$ for bounded stopping times $T$

Published on 20 Feb 2017 - 10:20

1.4k

Views

Stopped local martingale as a martingale

Published on 14 Mar 2017 - 8:13

306

Views

Localization of Martingale

Published on 18 Mar 2017 - 0:27

52

Views

Proving that a Stochastic integral is a Martingale

Published on 14 Feb 2023 - 18:52

76

Views

Given a local martingale $M$ the running supremum $N_t=\sup_{0\leq s\leq t}|M_s|$ is locally integrable

Published on 03 Mar 2023 - 16:57

32

Views

If $B$ is a Brownian motion and $f \in \mathcal C^2(\mathbb R^n)$ harmonic, then $f(B)$ is a continuous martingale

Published on 18 Mar 2023 - 9:51

74

Views

Local martingale: how is $\sup_{s \in[0, t]}\left|M_s\right|$ measurable?

Published on 18 Mar 2023 - 10:16

92

Views

A proof of Lévy's theorem: how to obtain the independence $X_t-X_s \perp \mathcal{F}_s$?

Published on 18 Mar 2023 - 18:22

48

Views

Assume $M^{\tau_n}$ is uniformly integrable. Is $X^{\tau_n}$ uniformly integrable?

Published on 19 Mar 2023 - 10:29

45

Views

Le Gall's Lemma 5.14: how to obtain $B \subset C$ a.s. from $B \subset \{X^{(n)}_a = X^{(n)}_b\}$ for all $n$?

Published on 20 Mar 2023 - 11:25

78

Views

Symmetric random walk inside a continuous local martingale

Published on 01 Apr 2023 - 19:41

69

Views

Show that a process is a local martingale (Brownian bridge)

Published on 08 May 2023 - 9:17

171

Views

Covariation of independent semimartingales is zero

Published on 07 Jun 2023 - 17:25

49

Views

Integral of $M^\text{}-M$ the difference of running maximum and current value with respect to $M^\text{}$ is 0 for a continuous local martingale $M$

Published on 10 Jun 2023 - 14:54

List Question

Uniformly $L^p$ continuous local martingale

Showing $E(X_T ^2)\le E([X]_T)$ for bounded stopping times $T$

Stopped local martingale as a martingale

Localization of Martingale

Proving that a Stochastic integral is a Martingale

Given a local martingale $M$ the running supremum $N_t=\sup_{0\leq s\leq t}|M_s|$ is locally integrable

If $B$ is a Brownian motion and $f \in \mathcal C^2(\mathbb R^n)$ harmonic, then $f(B)$ is a continuous martingale

Local martingale: how is $\sup_{s \in[0, t]}\left|M_s\right|$ measurable?

A proof of Lévy's theorem: how to obtain the independence $X_t-X_s \perp \mathcal{F}_s$?

Assume $M^{\tau_n}$ is uniformly integrable. Is $X^{\tau_n}$ uniformly integrable?

Le Gall's Lemma 5.14: how to obtain $B \subset C$ a.s. from $B \subset \{X^{(n)}_a = X^{(n)}_b\}$ for all $n$?

Symmetric random walk inside a continuous local martingale

Show that a process is a local martingale (Brownian bridge)

Covariation of independent semimartingales is zero

Integral of $M^\text{}-M$ the difference of running maximum and current value with respect to $M^\text{}$ is 0 for a continuous local martingale $M$

Trending Questions

Popular # Hahtags

Popular Questions