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An alternative to Doob's maximal inequality?

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#martingales #concentration-of-measure
285
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simple random walk and stopping time

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#probability #stochastic-processes #martingales #random-walk #stopping-times
246
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Compute $P(T< \infty)$

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#probability-theory #exponential-function #martingales #random-walk #stopping-times
181
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Strictly Convex function (Help with Durrett's exercise)

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#probability-theory #convex-analysis #martingales #random-walk #independence
1.5k
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Random walks and probability of hitting any point

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#probability #probability-theory #stochastic-processes #martingales #random-walk
83
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Bounded expectation of a martingale process

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#probability #stochastic-processes #expectation #martingales #poisson-process
581
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When is the quadratic variation of a process continuously differentiable?

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
204
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Functional CLT proof Theorem 7.4.1 on page 354-355 of Ethier and Kurtz 1986

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#stochastic-processes #stochastic-calculus #martingales #markov-process #stochastic-integrals
161
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Proof of martingale representation theorem

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#probability-theory #stochastic-processes #brownian-motion #martingales #stochastic-integrals
93
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Martingale, decomposition, expectancy value

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#martingales
121
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Is there an error in this exercise about martingales?

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#probability-theory #martingales
168
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What converses exists for Martingale representation theorem?

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#stochastic-calculus #finance #martingales #stochastic-integrals #stochastic-analysis
56
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Convergent sub-martingale?

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#probability-theory #martingales
75
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If $(M(x))_x$ is a collection of martingales, there is a nondecreasing processes $a$ such that $[M(x),M(y)]$ is absolutely continuous wrt $a$

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#probability-theory #stochastic-processes #martingales #stochastic-analysis #quadratic-variation
67
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Boundedness of a stochastic process and martingale convergence

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#calculus #probability-theory #martingales #stopping-times

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