List questions from martingales

Published on 04 Jan 2021 - 17:40

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How to determine if the process is martingale?

Published on 10 Apr 2026 - 3:01

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Relating convergence of characteristic function to almost sure convergence - Exercise 10.4.10 in Cohn's Book Measure Theory

Published on 01 Apr 2026 - 5:45

94

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Distribution of sum of inverses with random signs

Published on 11 Apr 2026 - 2:31

170

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Finding a stochastic process from Ito’s lemme on $Y_t$ such that $\int_0^1Y_s\,\mathrm{d}B_s= B_1-2B_1\mathbb{I}_{|B_1|}$

Published on 23 Feb 2026 - 18:46

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Conditional expectations of $X$ with respect to a filtration converges to $X$

Published on 11 Apr 2026 - 9:55

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Local martingale $\Leftrightarrow$ every component is a local martingale

Published on 09 Jan 2021 - 12:18

264

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Compute $\tilde{E}\left(B_t - \int_0^t B_s \,ds\right)$

Published on 10 Jan 2021 - 22:29

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Understanding of definition of a local martingale

Published on 08 Apr 2026 - 14:24

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Prove that the stopping time is finite

Published on 02 Apr 2026 - 20:54

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Compute $E(M_\sigma)$ and $E(e^{-\sigma})$

Published on 02 Apr 2026 - 21:01

179

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$M = (M_t)_{t\geq 0}$ obtained by Itô's formula is a martingale

Published on 30 Mar 2026 - 13:39

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Exponential martingale is closed iff $\mathbb{E}M_{\sigma_a}=1$

Published on 16 Jan 2021 - 13:50

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Functional of BM and time is martingale

Published on 11 Apr 2026 - 11:16

157

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How to differentiate this exponential process?

Published on 09 Apr 2026 - 3:29

List Question

Prove that $ \lim_n \mathbb{E}(f_n(Y_n)) = p $.

How to determine if the process is martingale?

Relating convergence of characteristic function to almost sure convergence - Exercise 10.4.10 in Cohn's Book Measure Theory

Distribution of sum of inverses with random signs

Finding a stochastic process from Ito’s lemme on $Y_t$ such that $\int_0^1Y_s\,\mathrm{d}B_s= B_1-2B_1\mathbb{I}_{|B_1|}$

Conditional expectations of $X$ with respect to a filtration converges to $X$

Local martingale $\Leftrightarrow$ every component is a local martingale

Compute $\tilde{E}\left(B_t - \int_0^t B_s \,ds\right)$

Understanding of definition of a local martingale

Prove that the stopping time is finite

Compute $E(M_\sigma)$ and $E(e^{-\sigma})$

$M = (M_t)_{t\geq 0}$ obtained by Itô's formula is a martingale

Exponential martingale is closed iff $\mathbb{E}M_{\sigma_a}=1$

Functional of BM and time is martingale

How to differentiate this exponential process?

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