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Protter: càdlàg $L^2$ Martingale is a Semimartingale

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#continuity #stochastic-processes #martingales #stochastic-integrals
2.2k
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Show that an Ito process is a martingale.

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#stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
159
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upcrossing inequality for positive submartingale

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#inequality #stochastic-processes #martingales
250
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Preservation of martingale property under absolutely continuous monotone time change

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#integration #stochastic-processes #stochastic-calculus #martingales #stochastic-analysis
1.1k
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Proving that expectation of stopping time of a random walk is finite

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#probability #martingales #random-walk
1k
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Martingale as the Product of i.i.d Non-Negative Random Variables

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#probability-theory #stochastic-processes #self-learning #martingales
1.4k
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Is an AR(p)-process a martingale?

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#probability-theory #stochastic-processes #martingales #time-series #stationary-processes
4.5k
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Show that the stochastic exponential is a true martingale

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#stochastic-processes #stochastic-calculus #brownian-motion #martingales
458
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Conditional expectation given past equals zero implies covariance of zero?

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#conditional-expectation #martingales #covariance
185
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Why, no matter how hard you try, you can't lose money betting on a submartingale?

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#probability-theory #martingales
147
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Justify the usage of stopping theorem by estimating $E[\tau]$ (How to find the stopping time of meeting a pattern in a sequence)

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#stochastic-processes #martingales #stopping-times
503
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If $X_n$ is a martingale with respect to $\{Y_n\}$ then does this hold with respect to $\{Y_n^2\}$

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#stochastic-processes #random-variables #conditional-expectation #martingales
1k
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Is a uniformly integrable martingale stopped at every stopping time also uniformly integrable?

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#probability-theory #martingales #stopping-times #uniform-integrability
120
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Is stochastic process a martingale?

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#probability #stochastic-processes #brownian-motion #martingales
277
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Proving a martingale property of the empirical distribution function

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#probability-theory #martingales #empirical-processes

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