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Brownian motion and Girsanov theorem

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#stochastic-calculus #brownian-motion #martingales
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Prove that a discrete process is a martingale

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#probability #martingales
38
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What are the moments of the value of a random walk stopped at a one-sided hitting time?

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#probability #probability-theory #martingales #random-walk #stopping-times
17
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Is the expected value of a function of a random variable given said function the same as if only the random variable was given?

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#probability #martingales
100
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Probability convergence of a martingale defined as iid random variable product

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#probability #martingales #pointwise-convergence
70
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Show that a process is a local martingale (Brownian bridge)

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#brownian-motion #martingales #local-martingales #brownian-bridge
141
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Show solution is martingale from PDE

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#partial-differential-equations #stochastic-calculus #martingales
76
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Proving function of Brownian motion is a martingale

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#probability-theory #stochastic-processes #stochastic-calculus #martingales
78
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Show martingale wrt dyadic filtration converges in $L^1$

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#probability #martingales
125
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Some place from the proof of the Ito representation theorem

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#stochastic-calculus #martingales #stochastic-integrals
59
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How can I prove $\Bbb{P}(M_t^*>C)\leq \frac{4K}{C^2} +\Bbb{P}([M]_t>K)$?

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#probability-theory #stochastic-processes #brownian-motion #martingales #stopping-times
46
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$P(i)$ the probability that Markov chain eventually enters state $N$ given that it starts in state $i$. Show $\{P(X_n), n\geq 0\}$ is a martingale

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#martingales
43
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Minimum of Wiener process and a Constant is a Super Martingale

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#probability-theory #stochastic-processes #martingales
33
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Multivariate martingale and tensor-product sigma-algebra

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#measure-theory #stochastic-processes #stochastic-calculus #martingales
64
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Stochastic Integral of the exponential of a process to it self

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#stochastic-calculus #brownian-motion #martingales #stochastic-integrals #stochastic-analysis

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