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show integrability of random variable

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#probability #probability-theory #measure-theory #martingales
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Prove stochastic exponential to be a martingale

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#probability #stochastic-processes #martingales #stochastic-integrals #stochastic-pde
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Martingale ganerated by random walk

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#probability-theory #stochastic-processes #markov-chains #martingales #random-walk
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Doob's decomposition of a submartingale

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#probability-theory #stochastic-processes #conditional-expectation #martingales
482
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Expectation of stopping time for random walk with probability $\frac{1}{2}$.

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#probability-theory #martingales #random-walk
194
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Can we say $Y_n$ is a martingale if the expectation is a constant?

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#stochastic-processes #conditional-expectation #martingales #random-walk
160
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Almost sure convergence of martingale

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#probability #conditional-expectation #martingales
923
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Application of the optional stopping theorem

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#probability-theory #conditional-expectation #martingales
340
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Radon–Nikodym derivative with another variable is a martingale

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#probability-theory #measure-theory #martingales #radon-nikodym
86
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Limiting r.v. for converging martingale

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#probability #random-variables #martingales
90
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Pricing a contract that pays G at T>0

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#probability-distributions #stochastic-processes #stochastic-calculus #martingales #finance
60
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Submartingale bounded difference

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#stochastic-processes #martingales #borel-cantelli-lemmas
401
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constructing a zero-mean martingale $\to -\infty$ a.s.

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#limits #probability-theory #martingales #independence #borel-cantelli-lemmas
131
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Issue with elementary exercise on martingales

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#probability-theory #conditional-expectation #martingales
72
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Computing (or approximating) distribution of a compensated Poisson process?

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#stochastic-processes #martingales #poisson-process

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