Question

Martingale in a modified gambler's ruin problem

score 94 · Answer 1 · 2026-03-29 02:52:56

94

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Martingale in a modified gambler's ruin problem

Published on 29 Mar 2026 - 2:52

score 22 · Answer 2 · 2026-03-29 04:34:10

22

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Wiener Process Textbook or Reference Specifically Containing Ramp Intersection (or Exit Time) Analysis

Published on 29 Mar 2026 - 4:34

score 317 · Answer 3 · 2026-02-23 10:21:49

317

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Prove that $L^2$ martingales with bounded increments that converge almost surely to a finite limit has converging quadratic variation

Published on 23 Feb 2026 - 10:21

score 153 · Answer 4 · 2023-10-26 06:11:03

153

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Prove that gambling strategy with stopping time on seeing consecutive sequence of coins is a martingale.

Published on 26 Oct 2023 - 6:11

score 59 · Answer 5 · 2026-03-27 19:08:22

59

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Maximal inequality for martingales

Published on 27 Mar 2026 - 19:08

score 34 · Answer 6 · 2023-10-30 18:12:29

34

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Polya's urn and SSRW.

Published on 30 Oct 2023 - 18:12

score 61 · Answer 7 · 2026-03-31 12:22:29

61

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class of processes guaranteed to exceed any thresholds

Published on 31 Mar 2026 - 12:22

score 54 · Answer 8 · 2026-03-30 15:34:48

54

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How to solve these equations? (from 10.12.c, D. Williams, Probability with Martingales)

Published on 30 Mar 2026 - 15:34

score 18 · Answer 9 · 2023-11-01 23:26:18

18

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The conditions for an independent but not IID exponential random variable to converge in distribution to 0

Published on 01 Nov 2023 - 23:26

score 24 · Answer 10 · 2023-11-02 00:07:22

24

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Martingale theorem representation using two martingales

Published on 02 Nov 2023 - 0:07

score 122 · Answer 11 · 2026-03-28 10:25:52

122

Views

Proof that the stochastic exponential is a local martingale

Published on 28 Mar 2026 - 10:25

score 57 · Answer 12 · 2023-11-04 02:23:19

57

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Relation between measurability of intensity, compensator, and martingale in Doob-Meyer decomposition

Published on 04 Nov 2023 - 2:23

score 60 · Answer 13 · 2023-11-06 14:42:18

60

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Expectation and Variance of $Y_t = \int_0^t sdW_s$ + Martingale property

Published on 06 Nov 2023 - 14:42

score 121 · Answer 14 · 2023-11-06 18:29:07

121

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Under what conditions, if any, is a continuous function of a Martingale still a martingale?

Published on 06 Nov 2023 - 18:29

score 97 · Answer 15 · 2023-11-09 18:38:45

97

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High-probability tail bounds for a quantitative supermartingale inequality.

Published on 09 Nov 2023 - 18:38

List Question

Martingale in a modified gambler's ruin problem

Wiener Process Textbook or Reference Specifically Containing Ramp Intersection (or Exit Time) Analysis

Prove that $L^2$ martingales with bounded increments that converge almost surely to a finite limit has converging quadratic variation

Prove that gambling strategy with stopping time on seeing consecutive sequence of coins is a martingale.

Maximal inequality for martingales

Polya's urn and SSRW.

class of processes guaranteed to exceed any thresholds

How to solve these equations? (from 10.12.c, D. Williams, Probability with Martingales)

The conditions for an independent but not IID exponential random variable to converge in distribution to 0

Martingale theorem representation using two martingales

Proof that the stochastic exponential is a local martingale

Relation between measurability of intensity, compensator, and martingale in Doob-Meyer decomposition

Expectation and Variance of $Y_t = \int_0^t sdW_s$ + Martingale property

Under what conditions, if any, is a continuous function of a Martingale still a martingale?

High-probability tail bounds for a quantitative supermartingale inequality.

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