List questions from martingales

Published on 22 Mar 2026 - 22:53

774

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Prove that the process is a martingale

Published on 28 May 2018 - 14:32

155

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Given two martingals sum also martingal?

Published on 30 May 2018 - 9:52

716

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How can we show that the Dolean Dade exponential is a supermartingale without using the Ito's lemma

Published on 25 Mar 2026 - 7:42

201

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Construct non-trivial local martingale which is constant with positive probability

Published on 26 Mar 2026 - 12:35

46

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convergence of martingale

Published on 02 Jun 2018 - 11:24

131

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How to beat the casino when the process is not a martingale using a bounded stopping time

Published on 25 Mar 2026 - 3:20

142

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Multidimensional non-martingale for which linear combinations of its components are all martingales

Published on 05 Jun 2018 - 5:40

261

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prove that $S_{\tau \land n} \to S_{\tau}$ in $L^1$ for a random walk with $E\tau^{1/2} < \infty$

Published on 25 Mar 2026 - 3:21

93

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An $L^p$-bounded martingale that is not $L^{p+\epsilon}$-bounded

Published on 25 Mar 2026 - 21:48

150

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Proving martingale property of $N_t = Z(M_{t\wedge s} - M_{t \wedge r})$ for martingale $M$

Published on 22 Mar 2026 - 8:33

559

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Two supermartingales and a stopping time

Published on 25 Mar 2026 - 5:05

84

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Conditions for almost surely convergent to 0

Published on 26 Mar 2026 - 12:41

458

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Upcrossing inequality: from discrete to continuous time

Published on 11 Jun 2018 - 15:59

107

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Differentiability of a continuous local martingale with a spatial parameter

Published on 22 Mar 2026 - 1:58

List Question

A non-negative local submartingale of the class DL is a submartingale

Prove that the process is a martingale

Given two martingals sum also martingal?

How can we show that the Dolean Dade exponential is a supermartingale without using the Ito's lemma

Construct non-trivial local martingale which is constant with positive probability

convergence of martingale

How to beat the casino when the process is not a martingale using a bounded stopping time

Multidimensional non-martingale for which linear combinations of its components are all martingales

prove that $S_{\tau \land n} \to S_{\tau}$ in $L^1$ for a random walk with $E\tau^{1/2} < \infty$

An $L^p$-bounded martingale that is not $L^{p+\epsilon}$-bounded

Proving martingale property of $N_t = Z(M_{t\wedge s} - M_{t \wedge r})$ for martingale $M$

Two supermartingales and a stopping time

Conditions for almost surely convergent to 0

Upcrossing inequality: from discrete to continuous time

Differentiability of a continuous local martingale with a spatial parameter

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