Question

Length of longest increasing subsequence as a martingale

score 105 · Answer 1 · 2019-11-02 16:03:52

105

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Length of longest increasing subsequence as a martingale

Published on 02 Nov 2019 - 16:03

score 184 · Answer 2 · 2019-11-03 02:33:19

184

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solve for $\theta \neq 0$ for exponential martingale $e^{\theta S_n}$

Published on 03 Nov 2019 - 2:33

score 170 · Answer 3 · 2019-11-03 18:26:51

170

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misunderstanding about martingale representation theorem and predictable processes

Published on 03 Nov 2019 - 18:26

score 721 · Answer 4 · 2019-11-04 04:04:35

721

Views

Proving that drift-less Geometric Brownian Motion process has only one Equivalent Local Martingale Measure

Published on 04 Nov 2019 - 4:04

score 145 · Answer 5 · 2026-02-23 04:39:14

145

Views

Showing a randomly scaled Brownian motion is a (local) Martingale.

Published on 23 Feb 2026 - 4:39

score 77 · Answer 6 · 2026-03-26 02:55:39

77

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Conditional expectation of exp{xy} given filtration $F_1$

Published on 26 Mar 2026 - 2:55

score 1.3k · Answer 7 · 2019-11-07 00:45:37

1.3k

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Details of Lp martingale convergence theorem

Published on 07 Nov 2019 - 0:45

score 633 · Answer 8 · 2019-11-07 03:25:50

633

Views

Asymptotic behavior of piecewise recursive random variable.

Published on 07 Nov 2019 - 3:25

score 483 · Answer 9 · 2019-11-07 09:31:35

483

Views

Show $\limsup _{t \to \infty} \frac{B_t}{\sqrt{t \ln t}} \leq 1 $ using the fact that $\frac{e^{B_t ^2 / (1+2t)}}{\sqrt{1+2t}}$ is a martingale.

Published on 07 Nov 2019 - 9:31

score 63 · Answer 10 · 2019-11-07 22:55:18

63

Views

Why a bet strategy is previsible?

Published on 07 Nov 2019 - 22:55

score 244 · Answer 11 · 2019-11-08 13:25:09

244

Views

State Price Density-Derivation ( Black Scholes Economy)

Published on 08 Nov 2019 - 13:25

score 141 · Answer 12 · 2019-11-10 08:42:36

141

Views

Increasing Information Martingale

Published on 10 Nov 2019 - 8:42

score 539 · Answer 13 · 2019-11-11 16:27:23

539

Views

Durret problem 4.8.3 - Random walk and optional sampling theorem application

Published on 11 Nov 2019 - 16:27

score 180 · Answer 14 · 2026-03-27 00:58:39

180

Views

$u(t,B_t)$ is a martingale if it satisfies a certain condition.

Published on 27 Mar 2026 - 0:58

score 745 · Answer 15 · 2026-03-26 16:26:34

745

Views

Application of Optional stopping theorem and exponential martingale (Durret exercise)

Published on 26 Mar 2026 - 16:26

List Question

Length of longest increasing subsequence as a martingale

solve for $\theta \neq 0$ for exponential martingale $e^{\theta S_n}$

misunderstanding about martingale representation theorem and predictable processes

Proving that drift-less Geometric Brownian Motion process has only one Equivalent Local Martingale Measure

Showing a randomly scaled Brownian motion is a (local) Martingale.

Conditional expectation of exp{xy} given filtration $F_1$

Details of Lp martingale convergence theorem

Asymptotic behavior of piecewise recursive random variable.

Show $\limsup _{t \to \infty} \frac{B_t}{\sqrt{t \ln t}} \leq 1 $ using the fact that $\frac{e^{B_t ^2 / (1+2t)}}{\sqrt{1+2t}}$ is a martingale.

Why a bet strategy is previsible?

State Price Density-Derivation ( Black Scholes Economy)

Increasing Information Martingale

Durret problem 4.8.3 - Random walk and optional sampling theorem application

$u(t,B_t)$ is a martingale if it satisfies a certain condition.

Application of Optional stopping theorem and exponential martingale (Durret exercise)

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