List questions from martingales

Published on 06 Apr 2026 - 11:52

505

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Is $e^{\sigma B_t - \frac{\sigma^2}{2}t}$ a martingale?

Published on 17 Nov 2020 - 9:13

41

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Itô's Integral effect in martingales

Published on 17 Nov 2020 - 22:09

263

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Exit and hitting times for the Bessel process $\textrm{d}X_t=\frac{n-1}2\frac{\textrm{d}t}{X_t}+\textrm{d}B_t$

Published on 23 Feb 2026 - 17:01

263

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A cadlag predictable finite variation process is of locally integrable variation?

Published on 18 Nov 2020 - 11:31

58

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How to show that poisson process with linear drift diverges to $\infty$

Published on 09 Apr 2026 - 4:09

106

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Find $(A_{t})_{t\geq 0}$ such that $(B_{t}^4+A_{t})_{t\geq 0}$ is a martingale for Brownian motion $(B_t)_{t \geq 0}$

Published on 19 Nov 2020 - 3:18

29

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Martingale with bounded differences and Azuma/McDiarmid's in a weird setting

Published on 28 Mar 2026 - 10:40

99

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Submartingale and expectation

Published on 08 Apr 2026 - 19:39

105

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$\mathbb{E}B_\tau$ where $\tau$ is defined as follows

Published on 22 Nov 2020 - 18:44

41

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Random Walk in $\mathbb{R}^2$, $R_n$ is distance from origin at time $n$, $\tau=\text{inf}\{n:R_n>r\}.$ Show that $\mathbb{E}(\tau)<\infty$

Published on 02 Apr 2026 - 17:47

44

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$X_i\sim\text{Exp}(1), S_n=\sum_{i=1}^nX_i.$ $\mathbb{E}(\frac{e^{S_{n+1}}(n+1)!}{(1+S_{n+1})^{n+2}}|\mathcal{F_n})=\frac{e^{S_n}n!}{(1+S_n)^{n+1}}$?

Published on 26 Mar 2026 - 21:13

400

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Is the logarithm of a martingale still a martingale?

Published on 27 Nov 2020 - 15:21

103

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Distribution of $\tau/x^2$ where $\tau$ is first hitting time

Published on 28 Nov 2020 - 3:10

286

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Some problem in proving a martingale

Published on 28 Nov 2020 - 3:32

List Question

Martingales as integrators

Is $e^{\sigma B_t - \frac{\sigma^2}{2}t}$ a martingale?

Itô's Integral effect in martingales

Exit and hitting times for the Bessel process $\textrm{d}X_t=\frac{n-1}2\frac{\textrm{d}t}{X_t}+\textrm{d}B_t$

A cadlag predictable finite variation process is of locally integrable variation?

How to show that poisson process with linear drift diverges to $\infty$

Find $(A_{t})_{t\geq 0}$ such that $(B_{t}^4+A_{t})_{t\geq 0}$ is a martingale for Brownian motion $(B_t)_{t \geq 0}$

Martingale with bounded differences and Azuma/McDiarmid's in a weird setting

Submartingale and expectation

$\mathbb{E}B_\tau$ where $\tau$ is defined as follows

Random Walk in $\mathbb{R}^2$, $R_n$ is distance from origin at time $n$, $\tau=\text{inf}\{n:R_n>r\}.$ Show that $\mathbb{E}(\tau)<\infty$

$X_i\sim\text{Exp}(1), S_n=\sum_{i=1}^nX_i.$ $\mathbb{E}(\frac{e^{S_{n+1}}(n+1)!}{(1+S_{n+1})^{n+2}}|\mathcal{F_n})=\frac{e^{S_n}n!}{(1+S_n)^{n+1}}$?

Is the logarithm of a martingale still a martingale?

Distribution of $\tau/x^2$ where $\tau$ is first hitting time

Some problem in proving a martingale

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