Question

Can finite variation martingales be approximated by martingales of integrable variation?

score 214 · Answer 1 · 2026-03-27 14:22:26

214

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Can finite variation martingales be approximated by martingales of integrable variation?

Published on 27 Mar 2026 - 14:22

score 332 · Answer 2 · 2019-09-27 12:03:36

332

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In a local martingale, does the sequence of stopping times is important?

Published on 27 Sep 2019 - 12:03

score 133 · Answer 3 · 2026-03-27 14:22:24

133

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Martingale is preserved under enlargement to a filtration with usual conditions

Published on 27 Mar 2026 - 14:22

score 25 · Answer 4 · 2026-03-26 04:53:13

25

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proving a lemma that is used to show that a stopping time is integrable under certain conditions

Published on 26 Mar 2026 - 4:53

score 184 · Answer 5 · 2019-09-28 14:20:04

184

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show that $X_n$ convergences almost surely and in $L^2$

Published on 28 Sep 2019 - 14:20

score 1k · Answer 6 · 2026-03-27 00:59:12

1k

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How does the construction of the stochastic integral rely on predictability of the integrand?

Published on 27 Mar 2026 - 0:59

score 362 · Answer 7 · 2026-03-28 22:27:06

362

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The $\sigma$-algebra $ \mathscr{B}\left(C\left[0,\infty\right)\right)$ is generated by all finite-dimensional cylinders.

Published on 28 Mar 2026 - 22:27

score 43 · Answer 8 · 2019-10-01 10:27:34

43

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Showing $Y_{n}:=X_{n}^{1}1_{ \{\tau > n\}}+X_{n}^{2}1_{ \{\tau \leq n\}}$ is a supermartingale

Published on 01 Oct 2019 - 10:27

score 61 · Answer 9 · 2014-03-16 05:28:09

61

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Show that $E[Z_n^2]= \sum_{i=1}^n E[(Z_i-Z_{i-1})^2] $ for a martingale with $Z_0=0$

Published on 16 Mar 2014 - 5:28

score 127 · Answer 10 · 2014-03-16 16:31:08

127

Views

Is $Z_n$ a Martingale with mean $1$?

Published on 16 Mar 2014 - 16:31

score 123 · Answer 11 · 2026-03-28 04:33:34

123

Views

Expectations of martingales

Published on 28 Mar 2026 - 4:33

score 100 · Answer 12 · 2026-03-26 22:50:40

100

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question about martingale

Published on 26 Mar 2026 - 22:50

score 4.8k · Answer 13 · 2026-03-27 18:00:45

4.8k

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Ornstein-Uhlenbeck process: Markov, but not martingale?

Published on 27 Mar 2026 - 18:00

score 616 · Answer 14 · 2026-03-27 01:46:25

616

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Option Pricing, A Practitioners Guide, Martingale's, Drift Change and Radon-Nikodym

Published on 27 Mar 2026 - 1:46

score 1.2k · Answer 15 · 2014-04-03 11:46:53

1.2k

Views

supremum and expectation of a martingale

Published on 03 Apr 2014 - 11:46

List Question

Can finite variation martingales be approximated by martingales of integrable variation?

In a local martingale, does the sequence of stopping times is important?

Martingale is preserved under enlargement to a filtration with usual conditions

proving a lemma that is used to show that a stopping time is integrable under certain conditions

show that $X_n$ convergences almost surely and in $L^2$

How does the construction of the stochastic integral rely on predictability of the integrand?

The $\sigma$-algebra $ \mathscr{B}\left(C\left[0,\infty\right)\right)$ is generated by all finite-dimensional cylinders.

Showing $Y_{n}:=X_{n}^{1}1_{ \{\tau > n\}}+X_{n}^{2}1_{ \{\tau \leq n\}}$ is a supermartingale

Show that $E[Z_n^2]= \sum_{i=1}^n E[(Z_i-Z_{i-1})^2] $ for a martingale with $Z_0=0$

Is $Z_n$ a Martingale with mean $1$?

Expectations of martingales

question about martingale

Ornstein-Uhlenbeck process: Markov, but not martingale?

Option Pricing, A Practitioners Guide, Martingale's, Drift Change and Radon-Nikodym

supremum and expectation of a martingale

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