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Bounded martingale is in $L^2$?

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#probability-theory #martingales
82
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Geometric Poisson process

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#stochastic-processes #stochastic-calculus #martingales #poisson-process #levy-processes
278
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Quadratic variation of a stochastic integral w.r.t. a local martingale

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#stochastic-processes #martingales #finance #stochastic-integrals #local-martingales
84
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Weak convergence & Random Random walks & Martingale?

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#martingales #markov-process #weak-convergence #random-walk #probability-limit-theorems
95
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What if expectation of a stochastic process converges?

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#convergence-divergence #stochastic-processes #martingales
67
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Why do we need continuity for the convergence of the localized martingale?

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#stochastic-processes #martingales #stopping-times #local-martingales
96
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How can I make the following expression to be a martingale?

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#ordinary-differential-equations #stochastic-processes #martingales #local-martingales
63
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Quadratic variation and elementary processes

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#probability-theory #stochastic-processes #martingales
78
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Crossvariation computation

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#probability-theory #stochastic-processes #martingales
394
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Expectation of a local martingale and uniform integrability

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#probability-theory #stochastic-processes #stochastic-calculus #martingales #stochastic-differential-equations
584
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Random Walk conditioned to stay positive is an h-process

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#probability #probability-theory #conditional-probability #martingales #random-walk
40
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Maximum inequality of sums of i.i.d random variables

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#stochastic-processes #martingales #stopping-times
142
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How to calculate $\mathbb{E}\left(\varPhi^{2}\left(\frac{W_{s}}{\sqrt{1-s}}\right)\right)$?

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #martingales
158
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Martingale convergence in $L^\infty$

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#probability-theory #martingales
103
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Can a negative local martingale start from 0?

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#probability #probability-theory #stochastic-processes #stochastic-calculus #martingales

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