Question

There exists a real number so that $X_n$ is a martingale

score 148 · Answer 1 · 2016-02-13 21:30:52

148

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There exists a real number so that $X_n$ is a martingale

Published on 13 Feb 2016 - 21:30

score 624 · Answer 2 · 2016-02-15 19:06:51

624

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Martingale w.r.t different filtrations

Published on 15 Feb 2016 - 19:06

score 449 · Answer 3 · 2026-03-30 03:35:50

449

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Submartingale and stopping time

Published on 30 Mar 2026 - 3:35

score 700 · Answer 4 · 2026-04-03 07:04:01

700

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Check that an Ito integral is a martingale.

Published on 03 Apr 2026 - 7:04

score 837 · Answer 5 · 2016-02-24 03:52:10

837

Views

Help with Durrett 5.7.8

Published on 24 Feb 2016 - 3:52

score 196 · Answer 6 · 2016-02-25 05:54:34

196

Views

Approximation via step functions through the conditional expectation on a sigma-field?

Published on 25 Feb 2016 - 5:54

score 2.3k · Answer 7 · 2026-03-30 05:12:29

2.3k

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Stopping time on an asymmetric random walk

Published on 30 Mar 2026 - 5:12

score 882 · Answer 8 · 2026-04-02 23:38:26

882

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Intersection of two simple random walks

Published on 02 Apr 2026 - 23:38

score 32 · Answer 9 · 2016-03-03 10:44:24

32

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If we have that $Y_n = y^{S_n}$, with $S_n$ the sum of total gambling winnings at time $n$, what roots of $y$ cause $Y_n$ to be a martingale?

Published on 03 Mar 2016 - 10:44

score 73 · Answer 10 · 2016-03-03 14:04:01

73

Views

How to show that a function $A_n$ is monotone increasing when $M_n^2 = N_n + A_n$, where $M_n, N_n$ are martingales

Published on 03 Mar 2016 - 14:04

score 289 · Answer 11 · 2026-03-26 06:05:14

289

Views

Equivalent definitions of $\mathrm{BMO}_p$ martingales

Published on 26 Mar 2026 - 6:05

score 180 · Answer 12 · 2016-03-05 00:52:12

180

Views

How to show that a sequence of random variables is non-anticipating?

Published on 05 Mar 2016 - 0:52

score 91 · Answer 13 · 2016-03-05 01:03:38

If $\{M_n\}$ is a sub-martingale that's bounded, and $\nu, \tau$ are bounded stop times with $\nu \leq \tau$, how to show $E(M_\nu) \leq E(M_\tau)$?

score 77 · Answer 14 · 2016-03-05 02:51:26

77

Views

If $\tau \equiv \min\{n:X_1+ X_2 +\cdots+ X_n > k\}$, how to show $\mathbb{E}(\tau) = 1 + {k \over \mu}$ for exponential random variables?

Published on 05 Mar 2016 - 2:51

score 66 · Answer 15 · 2026-04-03 18:20:17

66

Views

Why is this stopping time the result of intersections instead of unions?

Published on 03 Apr 2026 - 18:20

List Question

There exists a real number so that $X_n$ is a martingale

Martingale w.r.t different filtrations

Submartingale and stopping time

Check that an Ito integral is a martingale.

Help with Durrett 5.7.8

Approximation via step functions through the conditional expectation on a sigma-field?

Stopping time on an asymmetric random walk

Intersection of two simple random walks

If we have that $Y_n = y^{S_n}$, with $S_n$ the sum of total gambling winnings at time $n$, what roots of $y$ cause $Y_n$ to be a martingale?

How to show that a function $A_n$ is monotone increasing when $M_n^2 = N_n + A_n$, where $M_n, N_n$ are martingales

Equivalent definitions of $\mathrm{BMO}_p$ martingales

How to show that a sequence of random variables is non-anticipating?

If $\{M_n\}$ is a sub-martingale that's bounded, and $\nu, \tau$ are bounded stop times with $\nu \leq \tau$, how to show $E(M_\nu) \leq E(M_\tau)$?

If $\tau \equiv \min\{n:X_1+ X_2 +\cdots+ X_n > k\}$, how to show $\mathbb{E}(\tau) = 1 + {k \over \mu}$ for exponential random variables?

Why is this stopping time the result of intersections instead of unions?

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