List questions from martingales

Published on 28 Dec 2015 - 9:14

130

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Calculating a (Forward Measure) Martingale

Published on 01 Apr 2026 - 8:52

652

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Is this process a martingale?

Published on 30 Dec 2015 - 13:49

362

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Showing martingale for a Brownian motion $(W_t)_{t \geq 0}$

Published on 03 Apr 2026 - 3:55

249

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Solving equation with Wiener process

Published on 29 Mar 2026 - 10:55

201

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Is there a generalized Chernoff bound for submartingales

Published on 03 Jan 2016 - 1:34

1.3k

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exponential martingale inequality

Published on 03 Jan 2016 - 17:36

212

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A stochastic process $X$ with values in a separable Banach space $E$ is a martingale iff $f(X)$ is a martingale for all $f\in E^\ast$

Published on 07 Jan 2016 - 19:55

324

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A simple symmetric random walk is adapted

Published on 07 Jan 2016 - 20:33

45

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Why does this "wlog" make sense: $L^p$-norms of random variables

Published on 09 Jan 2016 - 8:58

200

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Theorem 4.14 of Brownian Motion and Stochastic Calculus

Published on 09 Jan 2016 - 14:31

726

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Doob's $L^p$ inequality - Case $p = 1$

Published on 10 Jan 2016 - 18:16

84

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An application of Ito's formula

Published on 03 Apr 2026 - 5:27

81

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Showing that $P(W_{t}/\sqrt{t \log(t)}>1+\epsilon)\to0$ when $t\to\infty$, where $(W_t)$ is a Wiener process

Published on 11 Jan 2016 - 7:38

162

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Application of Dynkin's Lemma: $L^p$-limit of martingale

Published on 11 Jan 2016 - 15:29

List Question

Sequence of Martingales convergent in $L^1$-norm

Calculating a (Forward Measure) Martingale

Is this process a martingale?

Showing martingale for a Brownian motion $(W_t)_{t \geq 0}$

Solving equation with Wiener process

Is there a generalized Chernoff bound for submartingales

exponential martingale inequality

A stochastic process $X$ with values in a separable Banach space $E$ is a martingale iff $f(X)$ is a martingale for all $f\in E^\ast$

A simple symmetric random walk is adapted

Why does this "wlog" make sense: $L^p$-norms of random variables

Theorem 4.14 of Brownian Motion and Stochastic Calculus

Doob's $L^p$ inequality - Case $p = 1$

An application of Ito's formula

Showing that $P(W_{t}/\sqrt{t \log(t)}>1+\epsilon)\to0$ when $t\to\infty$, where $(W_t)$ is a Wiener process

Application of Dynkin's Lemma: $L^p$-limit of martingale

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