List questions from martingales

Published on 12 Jul 2018 - 11:05

910

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General random walk expected first exit time via martingale

Published on 25 Mar 2026 - 5:05

605

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Convergence of (sub)martingales in L$^1$

Published on 16 Jul 2018 - 12:41

330

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Optimal Stopping Theorem for UI Martingales

Published on 25 Mar 2026 - 16:09

823

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Problem on the exponential martingale with the Brownian motion

Published on 25 Mar 2026 - 12:33

108

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Determine $\Bbb E[{\langle S \rangle}]$ where $S$ is simple symmetric random walk

Published on 21 Jul 2018 - 17:51

264

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Local time and $\int_0^t \operatorname{sgn}(B_t-x)\,dB_t$

Published on 25 Mar 2026 - 23:39

2.1k

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Uniformly integrable local martingale

Published on 22 Mar 2026 - 9:28

55

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Why explicitly require that a martingale is measurable

Published on 23 Jul 2018 - 15:22

230

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Supermartingale and stopping time

Published on 25 Mar 2026 - 6:41

252

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Compute the expectation of $X_{\tau}$ and related probability given its SDE $dX_t = X_t\,dt + \sigma \, dB_t$

Published on 26 Jul 2018 - 20:55

1k

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Why Martingales are so important?

Published on 02 Aug 2018 - 8:28

201

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Non-negative uniformly integrable local martingale

Published on 23 Feb 2026 - 2:51

221

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Stochastic version of the Radon-Nikodým theorem

Published on 23 Feb 2026 - 4:38

183

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How does the general stochastic integral generalize the Brownian motion stochastic integral?

Published on 23 Feb 2026 - 1:25

List Question

Stochastic integral of $L^2$ function is martingale

General random walk expected first exit time via martingale

Convergence of (sub)martingales in L$^1$

Optimal Stopping Theorem for UI Martingales

Problem on the exponential martingale with the Brownian motion

Determine $\Bbb E[{\langle S \rangle}]$ where $S$ is simple symmetric random walk

Local time and $\int_0^t \operatorname{sgn}(B_t-x)\,dB_t$

Uniformly integrable local martingale

Why explicitly require that a martingale is measurable

Supermartingale and stopping time

Compute the expectation of $X_{\tau}$ and related probability given its SDE $dX_t = X_t\,dt + \sigma \, dB_t$

Why Martingales are so important?

Non-negative uniformly integrable local martingale

Stochastic version of the Radon-Nikodým theorem

How does the general stochastic integral generalize the Brownian motion stochastic integral?

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