List questions from martingales

Published on 28 Nov 2021 - 9:28

67

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Prove $ \int_0^t 2X_s \ dX_s = X_t^2-X_0^2-\langle X, X\rangle_t $ WITHOUT Ito's formula

Published on 07 Apr 2026 - 12:33

176

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Conditions on stopping time being finite

Published on 09 Apr 2026 - 2:59

124

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Martingale majorizing a bounded supermartingale

Published on 13 Apr 2026 - 3:41

262

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Filtration and martingale from definition

Published on 10 Apr 2026 - 1:37

90

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A random walk martingale where $P(Y_n = \pm 1) = 0.5$ and $X_n = \sum_{j=1}^n a_j Y_j$ where $\{a_n\} \subset \mathbb{R}_+$ is non-increasing

Published on 03 Dec 2021 - 16:26

67

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show that the limit of a continuous time process with discrete values is a martingale

Published on 03 Apr 2026 - 10:55

638

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Probability of reaching state $b$ before $-a$

Published on 12 Apr 2026 - 10:26

66

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Show the mean of a non-negative integer-valued variable is finite

Published on 12 Apr 2026 - 22:58

250

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Martingale constructed with Bernoulli random variables

Published on 05 Dec 2021 - 1:21

210

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Levy's 0-1 law and Martinagle

Published on 11 Apr 2026 - 18:15

39

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Proving the finiteness of Expectation given a geometric condition

Published on 06 Dec 2021 - 19:35

79

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Can $(X_n)_{n \ge 0}$ and $(X_n^2)_{n \ge 0}$ be both martingales?

Published on 07 Dec 2021 - 13:53

143

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Sequence of random variables depending on another random variable

Published on 12 Apr 2026 - 5:41

70

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Prove a particular stochastic process is martingale.

Published on 12 Apr 2026 - 10:33

List Question

Verify that $X_n$ is a martingale

Prove $ \int_0^t 2X_s \ dX_s = X_t^2-X_0^2-\langle X, X\rangle_t $ WITHOUT Ito's formula

Conditions on stopping time being finite

Martingale majorizing a bounded supermartingale

Filtration and martingale from definition

A random walk martingale where $P(Y_n = \pm 1) = 0.5$ and $X_n = \sum_{j=1}^n a_j Y_j$ where $\{a_n\} \subset \mathbb{R}_+$ is non-increasing

show that the limit of a continuous time process with discrete values is a martingale

Probability of reaching state $b$ before $-a$

Show the mean of a non-negative integer-valued variable is finite

Martingale constructed with Bernoulli random variables

Levy's 0-1 law and Martinagle

Proving the finiteness of Expectation given a geometric condition

Can $(X_n)_{n \ge 0}$ and $(X_n^2)_{n \ge 0}$ be both martingales?

Sequence of random variables depending on another random variable

Prove a particular stochastic process is martingale.

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