List questions from martingales

Published on 26 Mar 2026 - 1:04

223

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Simple Martingale problem 1

Published on 20 Mar 2018 - 14:04

575

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Second Borel Cantelli lemma for martingales

Published on 20 Mar 2026 - 1:33

197

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Associativity of an integral against a function with finite variation

Published on 22 Mar 2026 - 5:06

98

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Proving an RV is a stopping time, and using this to find the conditions that another RV is martingale.

Published on 24 Mar 2026 - 22:14

245

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What is the Radon-Nikodym density $dP^∗ /d P$ of the unique $P^ ∗ ∼ P$ such that the discounted price $S^*_t := S_t /B_t$ is a $P^∗$-martingale

Published on 19 Mar 2026 - 22:27

175

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"Almost" a supermartingale

Published on 25 Mar 2018 - 12:09

116

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Underlying Random Variable of Conditional Expectation

Published on 23 Mar 2026 - 13:34

72

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Probability question and die rolling

Published on 25 Mar 2026 - 10:32

41

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To Show a Certain Martingale has Bounded Difference Property

Published on 28 Mar 2018 - 12:29

131

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A kind of martingale convergence theorem

Published on 04 Apr 2018 - 8:52

33

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$\sum E_{x} |V_k - V_{k-1}|I\{\tau_C \ge k\} = \sum E_x[|E[(V_k - V_{k-1})|\mathscr{F}_{k-1}]I\{\tau_C \ge k\}|]$ for a submartingale Markov chain.

Published on 26 Mar 2026 - 2:47

610

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Ito Integral Continuous Semimartingale Left Endpoint Riemann Sum

Published on 25 Mar 2026 - 3:07

219

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Random Walk on a Modified Binary Tree

Published on 06 Apr 2018 - 3:21

5.1k

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Prove that a martingale is uniformly integrable.

Published on 22 Mar 2026 - 16:57

List Question

Showing $P(S_m<m, \forall\ 1\leq m\leq n | S_n)=\max\{0, 1-S_n/n\}$

Simple Martingale problem 1

Second Borel Cantelli lemma for martingales

Associativity of an integral against a function with finite variation

Proving an RV is a stopping time, and using this to find the conditions that another RV is martingale.

What is the Radon-Nikodym density $dP^∗ /d P$ of the unique $P^ ∗ ∼ P$ such that the discounted price $S^*_t := S_t /B_t$ is a $P^∗$-martingale

"Almost" a supermartingale

Underlying Random Variable of Conditional Expectation

Probability question and die rolling

To Show a Certain Martingale has Bounded Difference Property

A kind of martingale convergence theorem

$\sum E_{x} |V_k - V_{k-1}|I\{\tau_C \ge k\} = \sum E_x[|E[(V_k - V_{k-1})|\mathscr{F}_{k-1}]I\{\tau_C \ge k\}|]$ for a submartingale Markov chain.

Ito Integral Continuous Semimartingale Left Endpoint Riemann Sum

Random Walk on a Modified Binary Tree

Prove that a martingale is uniformly integrable.

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