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15
140
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Question about the expectation given a filtration of sigma algebras

Published on
#measure-theory #expectation #martingales #filtrations
91
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Conclude that $\frac{1}N\sum_{n=1}^{N}X_n\to 0$ almost surely (without using strong law of large numbers)

Published on
#measure-theory #random-variables #martingales
264
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Show the following is a stopping time

Published on
#brownian-motion #martingales #stopping-times
659
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Two stopping times : Intuition

Published on
#stochastic-processes #martingales #stopping-times
653
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Alternative proof to the expectation of a stopping time to be finite

Published on
#martingales #random-walk #stopping-times
125
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expectation of Brownian motions equation

Published on
#stochastic-processes #brownian-motion #martingales
257
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Supermartingale variance bound?

Published on
#probability #probability-theory #reference-request #martingales #variance
3k
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Expectation stopped Brownian motion with drift

Published on
#brownian-motion #martingales #stopping-times
2.6k
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Expected value of exponential martingale

Published on
#probability #brownian-motion #martingales
348
Views

Extension of the Borel-Cantelli Lemmas

Published on
#probability-theory #martingales #borel-cantelli-lemmas
418
Views

Wald martingale - applications?

Published on
#stochastic-processes #martingales #moment-generating-functions
108
Views

stochastic representation using Girsanov's formula

Published on
#martingales #stochastic-integrals
767
Views

Show $X_t=t\cdot W_{1/t}$ is a martingale using Ito

Published on
#stochastic-processes #brownian-motion #martingales #stochastic-differential-equations #local-martingales
615
Views

Question on the stopping time theorems for martingales and UI martingales, is finite stopping time required?

Published on
#probability-theory #martingales #stopping-times
5.8k
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Gambler's ruin and martingale

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#probability-theory #stochastic-processes #martingales #conditional-expectation

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