List questions from martingales

92

Views

If $X$ is a martingale, then $X\int_0^{\;\cdot\;}Y_s\:{\rm d}s-\int_0^{\;\cdot\;}X_sY_s\:{\rm d}s$ is a martingale

Published on 20 Jun 2019 - 13:50

552

Views

Non-negative supermartingale: What is wrong with this proof?

Published on 21 Jun 2019 - 8:02

47

Views

$\mathbb E[(X_s-K)^+]\geq\mathbb E[(X_t-K)^+]$ for a martingale with $t<s$

Published on 21 Jun 2019 - 13:45

176

Views

Proof: Every supermartingale is locally of class $(D)$

Published on 25 Mar 2026 - 17:38

338

Views

Martingale Difference Concentration for bounded moments

Published on 26 Mar 2026 - 19:27

111

Views

Conditional Correlation for Stochastic Processes

Published on 26 Jun 2019 - 17:08

206

Views

Conditional expectation wrt Brownian Motion

Published on 28 Mar 2026 - 4:52

324

Views

Independence in conditional expectation of martingales

Published on 27 Jun 2019 - 10:57

75

Views

Conditional expectation of a martingale

Published on 28 Jun 2019 - 9:27

931

Views

Why is $Y_t = {B_t}^2 - t$ a martingale?

Published on 28 Mar 2026 - 6:40

74

Views

Properties of conditional expectation, independence

Published on 29 Jun 2019 - 5:18

142

Views

show that $S_n$ diverges a.s. and in $L^2$.

Published on 29 Jun 2019 - 14:48

97

Views

CDF of Martingale

Published on 29 Jun 2019 - 18:54

461

Views

Prove $X_t = {W_t}^3 - 3\int^{t}_{0} W_s \, ds$ is a martingale

Published on 28 Mar 2026 - 4:53

429

Views

Martingale conditioned on sigma algebra of stopping time

Published on 25 Mar 2026 - 23:38

List Question

If $X$ is a martingale, then $X\int_0^{\;\cdot\;}Y_s\:{\rm d}s-\int_0^{\;\cdot\;}X_sY_s\:{\rm d}s$ is a martingale

Non-negative supermartingale: What is wrong with this proof?

$\mathbb E[(X_s-K)^+]\geq\mathbb E[(X_t-K)^+]$ for a martingale with $t<s$

Proof: Every supermartingale is locally of class $(D)$

Martingale Difference Concentration for bounded moments

Conditional Correlation for Stochastic Processes

Conditional expectation wrt Brownian Motion

Independence in conditional expectation of martingales

Conditional expectation of a martingale

Why is $Y_t = {B_t}^2 - t$ a martingale?

Properties of conditional expectation, independence

show that $S_n$ diverges a.s. and in $L^2$.

CDF of Martingale

Prove $X_t = {W_t}^3 - 3\int^{t}_{0} W_s \, ds$ is a martingale

Martingale conditioned on sigma algebra of stopping time

Trending Questions

Popular # Hahtags

Popular Questions