List questions from martingales

Published on 29 Mar 2026 - 13:40

89

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A martingale related proof, need help

Published on 23 Feb 2026 - 8:21

148

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Three-Handed Gambler’s Ruin - end of the game

Published on 27 Mar 2026 - 16:25

84

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Non-integer moment of some integral which is similar to the incomplete Gamma function integral

Published on 28 Mar 2026 - 23:58

56

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Inequality convention in upcrossing definition

Published on 16 Jun 2020 - 11:30

52

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Question on Martingale

Published on 16 Jun 2020 - 11:39

147

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Non-integer moment of Brownian motion integral

Published on 29 Mar 2026 - 13:46

106

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Find $a_n$ and $b_n$, such that $M_n=a_nY_n+b_n$ defines a Martingale, when $E[Y_{n+1}|F_n]=u_nY_n+v_n$.

Published on 26 Mar 2026 - 6:23

63

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Different defintion of local martingales

Published on 18 Jun 2020 - 12:27

105

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Shifting balls in urns that are already occupied by balls

Published on 26 Mar 2026 - 6:21

78

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How to show that a stochastic process $\{Y_n\}$ is an $\{F_n\}$-submartingale.

Published on 18 Jun 2020 - 19:23

177

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Foster's Theorem for Recurrence in Markov Chains

Published on 19 Jun 2020 - 1:15

159

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Auxiliary result related to the exponential martingale inequality

Published on 28 Mar 2026 - 23:58

105

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Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

Published on 29 Mar 2026 - 0:00

38

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Show that the card drawn at time $(S+1)$ is equally likely to be a club or a diamond.

Published on 20 Jun 2020 - 22:55

List Question

If $H$ is predictable, show $ M_t = \sum_{s=1}^tH_s(X_s-E(X_s)) $ is a martingale

A martingale related proof, need help

Three-Handed Gambler’s Ruin - end of the game

Non-integer moment of some integral which is similar to the incomplete Gamma function integral

Inequality convention in upcrossing definition

Question on Martingale

Non-integer moment of Brownian motion integral

Find $a_n$ and $b_n$, such that $M_n=a_nY_n+b_n$ defines a Martingale, when $E[Y_{n+1}|F_n]=u_nY_n+v_n$.

Different defintion of local martingales

Shifting balls in urns that are already occupied by balls

How to show that a stochastic process $\{Y_n\}$ is an $\{F_n\}$-submartingale.

Foster's Theorem for Recurrence in Markov Chains

Auxiliary result related to the exponential martingale inequality

Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

Show that the card drawn at time $(S+1)$ is equally likely to be a club or a diamond.

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