List questions from martingales

Published on 12 Aug 2020 - 23:10

273

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Simple Question on Convergence of Martingales

Published on 13 Aug 2020 - 20:34

40

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Necessary and Sufficient Conditions for a Non-negative Process to be Predictable

Published on 14 Aug 2020 - 3:12

35

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prove the following is true: $E\Big[~\Big|E[X_n|F_n]\Big|~\Big] \le \Bigg|E\Big[~E[X | F_n \Big]~ \Bigg|$

Published on 15 Aug 2020 - 16:20

78

Views

Martingales: What does $F_{n-1}$ measurable mean compared to $F_{n}$ measurable?

Published on 15 Aug 2020 - 20:02

96

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Show expectation of minimum of the stopped martingale is $-\infty$

Published on 15 Aug 2020 - 21:59

97

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Martingales and Optimal Stopping. Prove: $E[M_T] = E[M_0]$

Published on 15 Aug 2020 - 23:36

407

Views

Fair gambler's ruin tail probability

Published on 06 Apr 2026 - 19:34

330

Views

Verify the Optimal Stopping Theorem

Published on 16 Aug 2020 - 12:32

312

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Understanding a Martingale Filtration

Published on 08 Apr 2026 - 0:36

89

Views

Proof for optional stopping theorem

Published on 02 Apr 2026 - 13:59

40

Views

Supermartingale that converges almost surely to a constant

Published on 08 Apr 2026 - 20:10

431

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$\tau \wedge n$ is a bounded stopping time?

Published on 02 Apr 2026 - 14:06

644

Views

Expected stopping time of Brownian motion breaking out of [a,-b] channel

Published on 02 Apr 2026 - 14:03

173

Views

The square of the field is a quadratic variation

Published on 27 Mar 2026 - 21:19

List Question

tower property of martingale processes

Simple Question on Convergence of Martingales

Necessary and Sufficient Conditions for a Non-negative Process to be Predictable

prove the following is true: $E\Big[~\Big|E[X_n|F_n]\Big|~\Big] \le \Bigg|E\Big[~E[X | F_n \Big]~ \Bigg|$

Martingales: What does $F_{n-1}$ measurable mean compared to $F_{n}$ measurable?

Show expectation of minimum of the stopped martingale is $-\infty$

Martingales and Optimal Stopping. Prove: $E[M_T] = E[M_0]$

Fair gambler's ruin tail probability

Verify the Optimal Stopping Theorem

Understanding a Martingale Filtration

Proof for optional stopping theorem

Supermartingale that converges almost surely to a constant

$\tau \wedge n$ is a bounded stopping time?

Expected stopping time of Brownian motion breaking out of [a,-b] channel

The square of the field is a quadratic variation

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