List questions from martingales

Published on 09 Aug 2019 - 18:31

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Example of a continuous martingale being non-square-integrable

Published on 14 Aug 2019 - 5:17

135

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two sided brownian motion hit time +1 -1

Published on 26 Mar 2026 - 1:02

72

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Simpler possible definition of martingale?

Published on 15 Aug 2019 - 2:27

118

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Limiting expectation of a uniformly integrable local martingale.

Published on 23 Feb 2026 - 4:39

249

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Ex. 14.4.7 from A First Look at Rigorous Probability Theory

Published on 17 Aug 2019 - 21:01

271

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Doob-Meyer decomposition for a biased compound Poisson process?

Published on 18 Aug 2019 - 13:23

1.5k

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Understanding Martingales

Published on 18 Aug 2019 - 18:15

179

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Lebesgue density theorem: a martingale proof

Published on 19 Aug 2019 - 1:03

259

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Contradiction Optional stopping theorem : If $\tau=\inf\{t\geq 0\mid B_t=1\}$ why $\mathbb E[B_\tau]=0$?

Published on 28 Mar 2026 - 15:20

194

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Application of Azuma-Hoeffding inequality for the Boolean Cube / Hypercube

Published on 26 Mar 2026 - 4:38

268

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If $(X_n)$ is a martingale, prove that $(X_{n\wedge N})_n$ is a martingale, where $N$ is a stoping time

Published on 23 Aug 2019 - 20:21

335

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Exercise on stopping time, Doob decomposition and Martingale

Published on 24 Aug 2019 - 10:49

278

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If $(X_n)$ is a martingale, why do we have $\mathbb E[(H\cdot X)_n]=\mathbb E[X_0]$?

Published on 24 Aug 2019 - 14:52

43

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Why do we use $\{X_n^*\wedge k\}$ in the proof of Doob inequality

Published on 24 Aug 2019 - 15:59

List Question

Undestanding the Martingale Representation Theorem

Example of a continuous martingale being non-square-integrable

two sided brownian motion hit time +1 -1

Simpler possible definition of martingale?

Limiting expectation of a uniformly integrable local martingale.

Ex. 14.4.7 from A First Look at Rigorous Probability Theory

Doob-Meyer decomposition for a biased compound Poisson process?

Understanding Martingales

Lebesgue density theorem: a martingale proof

Contradiction Optional stopping theorem : If $\tau=\inf\{t\geq 0\mid B_t=1\}$ why $\mathbb E[B_\tau]=0$?

Application of Azuma-Hoeffding inequality for the Boolean Cube / Hypercube

If $(X_n)$ is a martingale, prove that $(X_{n\wedge N})_n$ is a martingale, where $N$ is a stoping time

Exercise on stopping time, Doob decomposition and Martingale

If $(X_n)$ is a martingale, why do we have $\mathbb E[(H\cdot X)_n]=\mathbb E[X_0]$?

Why do we use $\{X_n^*\wedge k\}$ in the proof of Doob inequality

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