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Conditional expectation of functions of a random variable

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#probability #probability-distributions #conditional-probability #conditional-expectation #martingales
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A positive supermartingale is closed on the right

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#probability #measure-theory #stochastic-processes #martingales #stochastic-analysis
60
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Expected number of coin flips to get THTHTT

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#markov-chains #martingales
70
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Minimum submartingale inequality

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#martingales
30
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Conditional Expectation of random walk square $E^{F_n}X_{n+1}^2$

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#probability #conditional-expectation #martingales #random-walk
73
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Show that $Z(t)=\exp{\sigma X(t)-(\sigma \mu + \frac{1}{2} \sigma^2)t}$ is a martingale

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#stochastic-processes #stochastic-calculus #brownian-motion #martingales
67
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Is continuous, uniformly integrable martingale indistinguishable from BMO martingale?

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#stochastic-processes #stochastic-calculus #conditional-expectation #martingales #stochastic-analysis
40
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book recommendations for martingale theory (studying measure theory)

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#martingales
46
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Computing expected value of hitting time for a Feller process

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#probability-theory #stochastic-processes #stochastic-calculus #martingales #markov-process
45
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Optional stopping time of a simple symmetric random walk on the square lattice

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#martingales #random-walk
48
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Extending Doob’s optional stopping time

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#measure-theory #martingales
50
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Wald's identity proof

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#measure-theory #martingales
59
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expected sum after rolling dice until getting 6 five times

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#probability-theory #martingales #dice #stopping-times
118
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P and Q martingales

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#martingales
67
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Simple random walk, Martingales, stopping time

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#martingales #random-walk #stopping-times

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