List questions from martingales

Published on 11 Apr 2026 - 21:45

600

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Show that $f(B_t)$ is a martingale iff $f(x)=a+bx$.

Published on 13 Feb 2022 - 6:02

69

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Boundedness of conditional expectation

Published on 12 Apr 2026 - 3:24

86

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Non backtracking random walk - probability to land in subset

Published on 10 Apr 2026 - 0:52

55

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Expected Absolute Movement of a Simple Bounded Martingale

Published on 13 Apr 2026 - 5:05

506

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Can a martingale always be written as the integral with regard to Brownian motion?

Published on 10 Apr 2026 - 16:34

561

Views

Martingales in gambler's ruin problem

Published on 11 Apr 2026 - 1:38

665

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How to prove $S_n^2-n$ is still a martingale?

Published on 12 Apr 2026 - 9:45

143

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Estimate of probability when the sum of iid normal random variables goes below 0

Published on 13 Apr 2026 - 16:44

78

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Strong Markov property of Brownian motion on $[0,1]$.

Published on 09 Apr 2026 - 21:57

496

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Harmonic function and Markov chain

Published on 11 Apr 2026 - 7:43

141

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Are there any known martingale methods that can handle a limited budget?

Published on 13 Apr 2026 - 8:02

60

Views

How to show that if for every stopping time T $\mathbb{E}[X_T] = \mathbb{E}[Y_T]$, then $(X_t-Y_t)_{t\geq 0}$ is a martingale that starts in $0$.

Published on 13 Apr 2026 - 16:37

70

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A reference to a theorem about L1-bounded Martingales

Published on 13 Apr 2026 - 17:06

136

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Showing $\mathbb{E}[\exp(\lambda X) | G] \leq \exp\left(\frac{\lambda^{2}}{2}\right)$ for a random variable $X$ and sub-sigma-algebra $\mathcal G$

Published on 01 Apr 2026 - 5:08

List Question

Is this a Martingale?

Show that $f(B_t)$ is a martingale iff $f(x)=a+bx$.

Boundedness of conditional expectation

Non backtracking random walk - probability to land in subset

Expected Absolute Movement of a Simple Bounded Martingale

Can a martingale always be written as the integral with regard to Brownian motion?

Martingales in gambler's ruin problem

How to prove $S_n^2-n$ is still a martingale?

Estimate of probability when the sum of iid normal random variables goes below 0

Strong Markov property of Brownian motion on $[0,1]$.

Harmonic function and Markov chain

Are there any known martingale methods that can handle a limited budget?

How to show that if for every stopping time T $\mathbb{E}[X_T] = \mathbb{E}[Y_T]$, then $(X_t-Y_t)_{t\geq 0}$ is a martingale that starts in $0$.

A reference to a theorem about L1-bounded Martingales

Showing $\mathbb{E}[\exp(\lambda X) | G] \leq \exp\left(\frac{\lambda^{2}}{2}\right)$ for a random variable $X$ and sub-sigma-algebra $\mathcal G$

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