List questions from martingales

143

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Calculate $\mathbb{E}(T^2)$ and $\mathbb{E}(\int_0^T X_s \,d s)$ for exit time $T$ of Brownian motion $(X_t)_{t \geq 0}$

Published on 29 Mar 2026 - 13:47

235

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Why is right-continuity important in the martingale convergence theorem

Published on 18 Apr 2015 - 13:06

1.4k

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Exponential Martingales

Published on 19 Apr 2015 - 16:30

327

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Is the product of exponents of normal iid variables a martingale?

Published on 20 Apr 2015 - 13:17

396

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Martingale representation theorem application

Published on 31 Mar 2026 - 15:50

1.2k

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Exponential Martingales - Properties

Published on 20 Apr 2015 - 19:49

840

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Show that $f(W_t)-\frac{1}{2} \int_0^t f''(W_s) \, ds$ is a martingale without using Itô's formula

Published on 22 Apr 2015 - 0:08

352

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Stochastic Integral martingale if no $dt$ term?

Published on 31 Mar 2026 - 13:47

409

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Martingale roulette system

Published on 22 Apr 2015 - 18:14

377

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Proving a sequence forms a martingale

Published on 22 Apr 2015 - 21:44

1.4k

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Finding $b$ such that $e^{5B_t - bt}$ is a martingale

Published on 23 Apr 2015 - 6:01

1.8k

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Checking if $B_t^3 $ and $3tB_t$ are martingales?

Published on 23 Apr 2015 - 9:48

608

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Examples of Wiener Martingales

Published on 23 Apr 2015 - 10:01

88

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Markov chain converges to boundary

Published on 23 Apr 2015 - 22:54

906

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A variation of Lévy's characterization of Brownian motion

Published on 24 Apr 2015 - 23:39

List Question

Calculate $\mathbb{E}(T^2)$ and $\mathbb{E}(\int_0^T X_s \,d s)$ for exit time $T$ of Brownian motion $(X_t)_{t \geq 0}$

Why is right-continuity important in the martingale convergence theorem

Exponential Martingales

Is the product of exponents of normal iid variables a martingale?

Martingale representation theorem application

Exponential Martingales - Properties

Show that $f(W_t)-\frac{1}{2} \int_0^t f''(W_s) \, ds$ is a martingale without using Itô's formula

Stochastic Integral martingale if no $dt$ term?

Martingale roulette system

Proving a sequence forms a martingale

Finding $b$ such that $e^{5B_t - bt}$ is a martingale

Checking if $B_t^3 $ and $3tB_t$ are martingales?

Examples of Wiener Martingales

Markov chain converges to boundary

A variation of Lévy's characterization of Brownian motion

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