List questions from local-martingales

Published on 24 Apr 2017 - 2:50

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Martingale representation theorem and Markov property

Published on 09 May 2017 - 22:10

377

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Semimartingale property of function of Brownian motion

Published on 31 May 2017 - 8:37

511

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Is a local continuous martingale square integrable.

Published on 02 Jun 2017 - 10:17

257

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Show that semimartingale related to Brownian motion is local martingale

Published on 03 Jun 2017 - 12:37

26

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Breaking a semimartingale into non-semimartingale parts

Published on 06 Jun 2017 - 0:34

852

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Is an $L^2$-bounded continuous local martingale already a strict martingale?

Published on 07 Jun 2017 - 20:28

390

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If $M$ is a local martingale and $τ:=\inf\left\{t\ge0:\left|M_t\right|\ge\varepsilon\right\}$, then $M^τ$ is a martingale

Published on 10 Jun 2017 - 15:07

214

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Example of a random variable $X$ that is an $\mathscr{F}_t$-local martingale, but not an $\mathscr{F}_t^X$-local martingale.

Published on 13 Jun 2017 - 18:56

1.4k

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Is a stopped local martingale a local martingale?

Published on 20 Jun 2017 - 12:01

117

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Integrability of inverted Brownian Motion

Published on 22 Jun 2017 - 14:03

89

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If $M$ is a local martingale and $τ:=\inf\left\{t≥0:|M_t|≥ε\right\}$, then $\text P[[M]_∞≥δ]≤\text P[τ<∞]+\text P[[M]_τ≥δ]$

Published on 22 Jun 2017 - 16:01

367

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Characterization for strongly orthogonal martingales

Published on 15 Jul 2017 - 16:30

371

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Martingale property for stochastic time changed Martingale processes

Published on 05 Aug 2017 - 20:07

196

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Inverting the cumulative distribution function to solve for boundary conditions

Published on 14 Aug 2017 - 22:39

List Question

Confused about step in proof about quadratic variation

Martingale representation theorem and Markov property

Semimartingale property of function of Brownian motion

Is a local continuous martingale square integrable.

Show that semimartingale related to Brownian motion is local martingale

Breaking a semimartingale into non-semimartingale parts

Is an $L^2$-bounded continuous local martingale already a strict martingale?

If $M$ is a local martingale and $τ:=\inf\left\{t\ge0:\left|M_t\right|\ge\varepsilon\right\}$, then $M^τ$ is a martingale

Example of a random variable $X$ that is an $\mathscr{F}_t$-local martingale, but not an $\mathscr{F}_t^X$-local martingale.

Is a stopped local martingale a local martingale?

Integrability of inverted Brownian Motion

If $M$ is a local martingale and $τ:=\inf\left\{t≥0:|M_t|≥ε\right\}$, then $\text P[[M]_∞≥δ]≤\text P[τ<∞]+\text P[[M]_τ≥δ]$

Characterization for strongly orthogonal martingales

Martingale property for stochastic time changed Martingale processes

Inverting the cumulative distribution function to solve for boundary conditions

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