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Question about a predictable process - submartingale

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#martingales
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sum of product random variables (martingale)

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#probability #probability-theory #stochastic-processes #martingales #stochastic-analysis
109
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Is it true that $\mathbb E[M_tX|\mathcal F_s]=M_s\mathbb E[X|\mathcal F_s]$?

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#probability #stochastic-processes #martingales
66
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Applying the Optional Stopping Theorem to martingale with no upper bound?

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#stochastic-processes #martingales #upper-lower-bounds #stopping-times #network
112
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Convergence and continuity of a martingale

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#probability-theory #continuity #stochastic-processes #stochastic-calculus #martingales
221
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Integrable submartingale

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#probability #probability-theory #martingales #stopping-times #uniform-integrability
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Can a martingale converge in $L^1$ but not almost surely?

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#probability-theory #stochastic-processes #martingales
324
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Problem about martingale, bounded stopping time

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#probability-theory #measure-theory #martingales #stopping-times #filtrations
716
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Optional stopping with a nonnegative supermartingale

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#probability #stochastic-processes #martingales #stopping-times
77
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Function of a martingale

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#probability #martingales
93
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A basic question on martingales and filtrations

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#stochastic-processes #martingales
238
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Why is this process a semimartingale? How is Itô's formula applied here?

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#probability #stochastic-processes #stochastic-calculus #martingales
73
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Semimartingales and continuously differentiable functions

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#stochastic-processes #stochastic-calculus #martingales #local-martingales
142
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If $M_t$ is a martingale, when $\frac{1}{M_t}$ be a sub-martingale?

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#convex-analysis #stochastic-calculus #brownian-motion #martingales
92
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Probability with Martingales Algebras and $pi$-systems

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#probability-theory #measure-theory #martingales

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