Question

Is it possible to construct an $L^1$ dominating random variable for a non-negative uniformly integrable martingale?

score 281 · Answer 1 · 2020-01-16 23:39:05

281

Views

Is it possible to construct an $L^1$ dominating random variable for a non-negative uniformly integrable martingale?

Published on 16 Jan 2020 - 23:39

score 46 · Answer 2 · 2026-03-28 01:46:05

46

Views

Which semimartingale representation does the process $U_t = 2 + t^2 + \sin(B_t)\;, t \in [0, \infty)$ satisfy?

Published on 28 Mar 2026 - 1:46

score 82 · Answer 3 · 2020-01-20 16:01:47

82

Views

Step in a proof involving submartingale

Published on 20 Jan 2020 - 16:01

score 264 · Answer 4 · 2020-01-20 16:53:09

264

Views

Proof of Martingale convergence using Fatou's lemma

Published on 20 Jan 2020 - 16:53

score 75 · Answer 5 · 2026-03-28 01:48:21

75

Views

Why $X_t^θ= B_1(t) \cos θ − B_2(t) \sin θ$ is a martingale?

Published on 28 Mar 2026 - 1:48

score 64 · Answer 6 · 2020-01-23 04:00:10

64

Views

Need help with the martingale problem

Published on 23 Jan 2020 - 4:00

score 85 · Answer 7 · 2020-01-23 12:24:23

85

Views

How to prove Brownian is a Martingale as to the part of measurability

Published on 23 Jan 2020 - 12:24

score 72 · Answer 8 · 2026-03-28 01:48:28

72

Views

If $\int_0^t X_sdB_s$ is a martingale, does $\mathbb E[\int_0^t X_s^2ds]<\infty $?

Published on 28 Mar 2026 - 1:48

score 57 · Answer 9 · 2020-01-26 23:12:39

57

Views

Measurability of a stopped local martingale

Published on 26 Jan 2020 - 23:12

score 147 · Answer 10 · 2020-01-27 21:10:37

147

Views

Construct Martingale Measure $Q$ so that process retains log-normal distribution under $Q$

Published on 27 Jan 2020 - 21:10

score 204 · Answer 11 · 2026-03-26 02:54:37

204

Views

Uniform integrability for a Martingale (defined via Poisson process)

Published on 26 Mar 2026 - 2:54

score 287 · Answer 12 · 2026-03-28 17:39:18

287

Views

A case where a stochastic exponential is a true martingale

Published on 28 Mar 2026 - 17:39

score 358 · Answer 13 · 2026-02-23 04:38:34

358

Views

How to show this is not a martingale.

Published on 23 Feb 2026 - 4:38

score 37 · Answer 14 · 2020-01-30 12:34:29

37

Views

If $(M_t)$ is a Martingale, why considering $\int_0^t X_s^2d\left<M\right>_s$ instead of $\int_0^t X_s^2ds$?

Published on 30 Jan 2020 - 12:34

score 56 · Answer 15 · 2026-02-23 06:24:17

56

Views

Prove that $(Y_{t})_{t\in[0,\epsilon]}$ is a martingale.

Published on 23 Feb 2026 - 6:24

List Question

Is it possible to construct an $L^1$ dominating random variable for a non-negative uniformly integrable martingale?

Which semimartingale representation does the process $U_t = 2 + t^2 + \sin(B_t)\;, t \in [0, \infty)$ satisfy?

Step in a proof involving submartingale

Proof of Martingale convergence using Fatou's lemma

Why $X_t^θ= B_1(t) \cos θ − B_2(t) \sin θ$ is a martingale?

Need help with the martingale problem

How to prove Brownian is a Martingale as to the part of measurability

If $\int_0^t X_sdB_s$ is a martingale, does $\mathbb E[\int_0^t X_s^2ds]<\infty $?

Measurability of a stopped local martingale

Construct Martingale Measure $Q$ so that process retains log-normal distribution under $Q$

Uniform integrability for a Martingale (defined via Poisson process)

A case where a stochastic exponential is a true martingale

How to show this is not a martingale.

If $(M_t)$ is a Martingale, why considering $\int_0^t X_s^2d\left<M\right>_s$ instead of $\int_0^t X_s^2ds$?

Prove that $(Y_{t})_{t\in[0,\epsilon]}$ is a martingale.

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