Question

Sup of $p$-norms of positions of martingale and $p$-norm of its closure

score 144 · Answer 1 · 2020-01-31 20:10:12

144

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Sup of $p$-norms of positions of martingale and $p$-norm of its closure

Published on 31 Jan 2020 - 20:10

score 138 · Answer 2 · 2020-02-01 08:25:15

138

Views

In the proof of the Optional Sampling Theorem for a Uniformly Integrable Martingale

Published on 01 Feb 2020 - 8:25

score 1.5k · Answer 3 · 2026-03-30 08:01:26

1.5k

Views

Covariance of geometric Brownian motion

Published on 30 Mar 2026 - 8:01

score 99 · Answer 4 · 2026-03-27 06:15:10

99

Views

Basic question on union bound for high probability bound for martingale difference sequence

Published on 27 Mar 2026 - 6:15

score 67 · Answer 5 · 2026-03-28 05:23:26

67

Views

$S_t$ and $X_t$ stochastic processes; $S_t$ martingale. Why $E[\int_{0}^T S_tdX_t]=-S_0X_0$?

Published on 28 Mar 2026 - 5:23

score 49 · Answer 6 · 2020-02-06 16:54:01

49

Views

Optimal stopping times $\tau_{\min}^{K}$ for $H_{t}^{K}=\frac{(K-S_{t})^{+}}{(1+r)^{t}}$

Published on 06 Feb 2020 - 16:54

score 204 · Answer 7 · 2026-02-23 04:55:13

204

Views

Compensator for $\bigg(\int_0^t f(s)dB(s)\bigg)^2$.

Published on 23 Feb 2026 - 4:55

score 615 · Answer 8 · 2026-03-27 04:57:13

615

Views

the probability of a negative drift random walk never be positive

Published on 27 Mar 2026 - 4:57

score 322 · Answer 9 · 2026-03-28 04:01:50

322

Views

Relation between steps and turns in a simple symmetric random walk

Published on 28 Mar 2026 - 4:01

score 218 · Answer 10 · 2020-02-08 09:49:25

A submartingale $(X_n)$ with respect to its natural filtration $(\mathcal G_n)$ where $\mathcal{G}_{n}:=\sigma (X_{0}, \ldots, X_{n})$

score 42 · Answer 11 · 2020-02-08 10:42:01

42

Views

Is the condition "if $\phi\left(X_{n}\right)$ is integrable" redundant in this proposition?

Published on 08 Feb 2020 - 10:42

score 1.5k · Answer 12 · 2020-02-08 13:47:06

1.5k

Views

Uniformly integrable martingale and $L^1$ convergence

Published on 08 Feb 2020 - 13:47

score 86 · Answer 13 · 2020-02-08 19:49:44

86

Views

Properties of a supermartingale which make it a martingale

Published on 08 Feb 2020 - 19:49

score 23 · Answer 14 · 2020-02-08 23:16:04

23

Views

Show that $(U_{n})_{n \leq N}$ is the smallest $\mathcal{F}_{n}$-super-martingale that dominates $X_{n}$

Published on 08 Feb 2020 - 23:16

score 149 · Answer 15 · 2026-02-24 02:13:11

149

Views

Characterizing the set of convergence of a martingale using the compensator

Published on 24 Feb 2026 - 2:13

List Question

Sup of $p$-norms of positions of martingale and $p$-norm of its closure

In the proof of the Optional Sampling Theorem for a Uniformly Integrable Martingale

Covariance of geometric Brownian motion

Basic question on union bound for high probability bound for martingale difference sequence

$S_t$ and $X_t$ stochastic processes; $S_t$ martingale. Why $E[\int_{0}^T S_tdX_t]=-S_0X_0$?

Optimal stopping times $\tau_{\min}^{K}$ for $H_{t}^{K}=\frac{(K-S_{t})^{+}}{(1+r)^{t}}$

Compensator for $\bigg(\int_0^t f(s)dB(s)\bigg)^2$.

the probability of a negative drift random walk never be positive

Relation between steps and turns in a simple symmetric random walk

A submartingale $(X_n)$ with respect to its natural filtration $(\mathcal G_n)$ where $\mathcal{G}_{n}:=\sigma (X_{0}, \ldots, X_{n})$

Is the condition "if $\phi\left(X_{n}\right)$ is integrable" redundant in this proposition?

Uniformly integrable martingale and $L^1$ convergence

Properties of a supermartingale which make it a martingale

Show that $(U_{n})_{n \leq N}$ is the smallest $\mathcal{F}_{n}$-super-martingale that dominates $X_{n}$

Characterizing the set of convergence of a martingale using the compensator

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