List questions from martingales

Published on 26 Feb 2019 - 19:00

169

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Convergence of a cadlag martingale to a square-integrable limit

Published on 27 Feb 2019 - 4:57

446

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$B_t^3 - 3t B_t$ is a $L^2$ martingale ($B_t$ being a standard Brownian motion)

Published on 26 Mar 2026 - 4:53

51

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Square integrability of martingale?

Published on 03 Mar 2019 - 19:52

85

Views

Checking for martingale and Itô's formula

Published on 04 Mar 2019 - 1:46

68

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Doob's decomposition theorem relaxation for nonuniqueness

Published on 04 Mar 2019 - 5:46

423

Views

Continuous local martingale $M$ with $\langle M\rangle_t=t$ is a martingale

Published on 05 Mar 2019 - 15:05

1k

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Interpreting Doob's Up-Crossing Inequality

Published on 05 Mar 2019 - 22:14

827

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Stopped random walk is not uniformly integrable

Published on 25 Mar 2026 - 14:21

635

Views

Prove that $\{S_n^2-\sigma^2n\}$ is a martingale.

Published on 06 Mar 2019 - 15:20

87

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Finding out the sequence as Martingale.

Published on 10 Mar 2019 - 6:58

193

Views

Doob's Optional Stopping Theorem: $\xi_\tau$ vs $\xi_{\tau\land n}$

Published on 25 Mar 2026 - 14:27

76

Views

Martingale convergence theory question

Published on 12 Mar 2019 - 7:03

532

Views

Conditional expectation of integral of Ornstein-Uhlenbeck process

Published on 26 Mar 2026 - 19:00

355

Views

Martingale to power

Published on 14 Mar 2019 - 22:59

List Question

An example of a submartingale $X=\{X_n\}$ such that $\{X_n^2\}$ is a supermartingale.

Convergence of a cadlag martingale to a square-integrable limit

$B_t^3 - 3t B_t$ is a $L^2$ martingale ($B_t$ being a standard Brownian motion)

Square integrability of martingale?

Checking for martingale and Itô's formula

Doob's decomposition theorem relaxation for nonuniqueness

Continuous local martingale $M$ with $\langle M\rangle_t=t$ is a martingale

Interpreting Doob's Up-Crossing Inequality

Stopped random walk is not uniformly integrable

Prove that $\{S_n^2-\sigma^2n\}$ is a martingale.

Finding out the sequence as Martingale.

Doob's Optional Stopping Theorem: $\xi_\tau$ vs $\xi_{\tau\land n}$

Martingale convergence theory question

Conditional expectation of integral of Ornstein-Uhlenbeck process

Martingale to power

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