List questions from martingales

Published on 27 Mar 2026 - 4:22

79

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Strict local martingale implies $\mathbb E_t[S_u]<S_t\ \forall t<u$

Published on 04 Jun 2014 - 20:16

541

Views

Ito's process and martingale

Published on 27 Mar 2026 - 4:24

813

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Azuma inequality with probabilistic bound for the increments

Published on 26 Mar 2026 - 19:37

462

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Is there an example that shows that the optional stopping theorem fails for finite (unbounded) stopping times?

Published on 26 Mar 2026 - 8:23

669

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Why martingales need to be integrable?

Published on 16 Jun 2014 - 4:29

140

Views

Second (centered) moment for martingales

Published on 17 Jun 2014 - 14:17

22k

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What is a fair game?

Published on 19 Jun 2014 - 13:31

3.7k

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Rigorous Book on Stochastic Calculus

Published on 27 Mar 2026 - 17:40

214

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Proving it's a martingale and more conditions.

Published on 27 Mar 2026 - 18:34

3k

Views

An exponential martingale

Published on 27 Mar 2026 - 4:15

108

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Why is the Stopping Theorem interesting?

Published on 26 Mar 2026 - 8:14

323

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Problem about martingale convergence in $L^p$

Published on 27 Jun 2014 - 23:21

958

Views

If I bet half of my money each round in a fair gamble, what's the probability...

Published on 25 Mar 2026 - 8:13

1k

Views

Proving a property of hitting times of a simple random walk on $\mathbb{Z}$

Published on 27 Mar 2026 - 7:18

List Question

martingale and stochastic Integral

Strict local martingale implies $\mathbb E_t[S_u]<S_t\ \forall t<u$

Ito's process and martingale

Azuma inequality with probabilistic bound for the increments

Is there an example that shows that the optional stopping theorem fails for finite (unbounded) stopping times?

Why martingales need to be integrable?

Second (centered) moment for martingales

What is a fair game?

Rigorous Book on Stochastic Calculus

Proving it's a martingale and more conditions.

An exponential martingale

Why is the Stopping Theorem interesting?

Problem about martingale convergence in $L^p$

If I bet half of my money each round in a fair gamble, what's the probability...

Proving a property of hitting times of a simple random walk on $\mathbb{Z}$

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