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Recognizing a Martingale

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#probability #stochastic-processes #expected-value #conditional-expectation #martingales
158
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Stochastic Integral Computation

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#brownian-motion #martingales #stochastic-integrals
206
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Showing that the following statements are equivalent on a probability space $(\Omega, \mathcal{A}, P)$

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#probability-theory #measure-theory #probability-distributions #martingales #filtrations
28
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A bound on the maximum $p$-th moment of a discrete martingale. Motivating examples or significance of the result?

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#stochastic-processes #martingales #stochastic-analysis #extreme-value-analysis
170
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Random Walk and Martingal

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#probability-theory #martingales #random-walk
176
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Integrability of stopped process

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#probability #probability-theory #stochastic-processes #stochastic-calculus #martingales
160
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Random walk with shifted exponential increment. How to calculate hitting time.

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#probability-theory #stochastic-processes #martingales #random-walk
300
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Bounded Square-Integrable Martingale

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#probability-theory #inequality #martingales #quadratic-variation
131
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Proof of the existence of one only martingale measure

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#probability-theory #measure-theory #derivatives #stochastic-processes #martingales
840
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Is the exponential martingale of Brownian motion uniformly absolutely continuous?

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#stochastic-processes #martingales #stochastic-analysis #uniform-integrability #local-martingales
143
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Confused about $\mathcal{L}^2$-martingales

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#probability-theory #expected-value #conditional-expectation #martingales
74
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How can I prove that $Z_i(k)$ is an exponential martingale?

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#probability-theory #martingales
311
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Doob's martingale inequality. Does that imply $(2)$?

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#probability-theory #inequality #proof-writing #expected-value #martingales
25
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About the martingale.

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#martingales
292
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Probability Brownian motion hitting ball in dimension 2 and 3.

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#stochastic-calculus #brownian-motion #martingales #stopping-times

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