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Discrete martingales problem

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#probability #stochastic-processes #stochastic-calculus #martingales
199
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Version of Tanaka's Formula outside Brownian Motion

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#stochastic-calculus #brownian-motion #martingales
61
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Conditional covariance martingale and increasing function

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#conditional-expectation #martingales
650
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Revuz and Yor's Book “Continuous Martingales and Brownian Motion” - Chapter 1 - Exercise 1.19

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#stochastic-processes #brownian-motion #martingales
846
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Show if M is a positive local martingale with $E(M_0)<\infty$ then $M$ is a supermartingale.

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#limits #probability-theory #martingales
550
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Random Walk: Probability of Hitting to Another State Before Returning To the Current State

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#probability #martingales
155
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Random Walk: Probability of Hitting to Another State or an Absorbing State Before Returning To the Current State

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#probability #martingales
66
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Prove that sequence of probabilities is a martingale

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#probability-theory #random-variables #martingales
85
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Urn Problem - Martingales

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#probability #probability-theory #stochastic-processes #martingales
565
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W_t^3 martingale or not? two arguments puzzle me.

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#probability #brownian-motion #martingales
2k
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Product of two independent brownian motion is a martingale

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#probability-theory #brownian-motion #martingales
34
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When is the limit of a parameterized family of martingales also a martingale?

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#martingales #markov-process #local-martingales
182
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Exponential of the sum of a stochastic process

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#stochastic-processes #martingales
206
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Is the sequence of uniformly distributed random variables martingale?

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#stochastic-processes #random-variables #martingales
320
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How to show that $(e^{-rt}S_t)_{t\in [0, T]}$ is a $Q$ martingale?

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#stochastic-calculus #brownian-motion #martingales

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