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When is compound Poisson process a martingale?

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#probability-theory #martingales #poisson-process
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Oksendal. Stohastic differential equations. Problem 4.7

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#martingales #measurable-functions
124
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Game involving envelopes

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#probability #stochastic-processes #martingales #game-theory #puzzle
26
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Finding the distribution under a martingale measure for this CRR model

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#probability-distributions #martingales
56
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Martingale representation of bounded stochastic variable

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#stochastic-calculus #martingales
147
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Quadratic variation of integral of martingales

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#probability-theory #martingales #quadratic-variation
71
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Help me find the formula for this problem please (probably easy!)

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#probability-theory #martingales #gambling
43
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Is a stopped martingale always a martingale?

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#probability-theory #martingales
34
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Stopping time of a martingale $Y_n=e^{S_n}$

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#stochastic-calculus #martingales #stopping-times
156
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Martingale stopping probability

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#probability #probability-theory #martingales
27
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Doob-Meyer decomposition for inequalities

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-differential-equations
79
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Martingale example: a martingale on the partitioned unit interval

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#probability #probability-theory #stochastic-processes #lebesgue-measure #martingales
176
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Calculating the likelihood of a Martingale reaching a certain value

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#probability #probability-theory #martingales #random-walk
29
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Dense subset of $L^2$ in the integral representation of $X \in L^2(\Omega)$

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#probability-theory #stochastic-processes #martingales #stochastic-integrals #stochastic-analysis
99
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Durrett Exercise 4.2.10 (i)

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#probability #probability-theory #probability-distributions #conditional-expectation #martingales

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