Question

How can I show that the stochastic integral of a jump process w.r.t. Brownian motion is a local martingale by using this special localizing sequence?

score 347 · Answer 1 · 2026-02-23 02:50:10

347

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How can I show that the stochastic integral of a jump process w.r.t. Brownian motion is a local martingale by using this special localizing sequence?

Published on 23 Feb 2026 - 2:50

score 1.5k · Answer 2 · 2026-03-25 17:43:41

1.5k

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Desrcibing all the equivalent martingale measures (EMM)

Published on 25 Mar 2026 - 17:43

score 275 · Answer 3 · 2018-11-14 00:47:23

275

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Wright-Fisher Model: Prove that $P_X(V_N<V_0)=x/N$?

Published on 14 Nov 2018 - 0:47

score 153 · Answer 4 · 2026-03-25 16:01:18

153

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Problem With Lower And Upper No-Arbitrage Barriers And Inequalities-Financial Mathematics

Published on 25 Mar 2026 - 16:01

score 85 · Answer 5 · 2026-03-25 15:57:20

85

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Overcompensation Value-Financial Mathematics

Published on 25 Mar 2026 - 15:57

score 115 · Answer 6 · 2026-03-25 19:03:39

115

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Ito Lemma and identifying martingale parts

Published on 25 Mar 2026 - 19:03

score 149 · Answer 7 · 2026-03-25 03:22:48

149

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bounded gambling systems (Theorem 4.2.8 in Durrett: Probability Theory and Examples)

Published on 25 Mar 2026 - 3:22

score 51 · Answer 8 · 2026-02-23 02:49:49

51

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Show $[\int _0 ^t B_{2,s} dB_{1,s}]^2 - \int_0^t (B_{2,s})^2 ds$ is a martingale

Published on 23 Feb 2026 - 2:49

score 47 · Answer 9 · 2026-03-25 19:09:52

47

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Prove that $\overline{\pi}(C) = S_0^1$ if $\text{ess} \sup S_1^1 = \infty$ and $\text{ess}\inf S_1^1 = 0$

Published on 25 Mar 2026 - 19:09

score 104 · Answer 10 · 2026-03-25 09:47:08

104

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Proof verification: Application of optional stopping theorem

Published on 25 Mar 2026 - 9:47

score 83 · Answer 11 · 2018-11-21 18:35:56

83

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Finding the maximum of $\mathbb{E}_{\mathbb{Q}_v}\big[\max\{K-(1+R)s_0,0\}\big]$

Published on 21 Nov 2018 - 18:35

score 99 · Answer 12 · 2026-03-25 22:03:52

99

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Proof that a r.v. with a particular random walk is a martingale

Published on 25 Mar 2026 - 22:03

score 1.2k · Answer 13 · 2018-11-22 17:59:01

1.2k

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How can I show that the sum of two martingales is a martingale?

Published on 22 Nov 2018 - 17:59

score 249 · Answer 14 · 2018-11-23 19:38:20

249

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Sufficient condition for $L^\infty$-convergence in martingale convergence theorem.

Published on 23 Nov 2018 - 19:38

score 758 · Answer 15 · 2026-02-23 02:46:27

758

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Show that this process is not a martingale

Published on 23 Feb 2026 - 2:46

List Question

How can I show that the stochastic integral of a jump process w.r.t. Brownian motion is a local martingale by using this special localizing sequence?

Desrcibing all the equivalent martingale measures (EMM)

Wright-Fisher Model: Prove that $P_X(V_N<V_0)=x/N$?

Problem With Lower And Upper No-Arbitrage Barriers And Inequalities-Financial Mathematics

Overcompensation Value-Financial Mathematics

Ito Lemma and identifying martingale parts

bounded gambling systems (Theorem 4.2.8 in Durrett: Probability Theory and Examples)

Show $[\int _0 ^t B_{2,s} dB_{1,s}]^2 - \int_0^t (B_{2,s})^2 ds$ is a martingale

Prove that $\overline{\pi}(C) = S_0^1$ if $\text{ess} \sup S_1^1 = \infty$ and $\text{ess}\inf S_1^1 = 0$

Proof verification: Application of optional stopping theorem

Finding the maximum of $\mathbb{E}_{\mathbb{Q}_v}\big[\max\{K-(1+R)s_0,0\}\big]$

Proof that a r.v. with a particular random walk is a martingale

How can I show that the sum of two martingales is a martingale?

Sufficient condition for $L^\infty$-convergence in martingale convergence theorem.

Show that this process is not a martingale

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