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How can I show that the stochastic integral of a jump process w.r.t. Brownian motion is a local martingale by using this special localizing sequence?

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#brownian-motion #martingales #stochastic-integrals #stochastic-analysis #local-martingales
159
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Regarding Poisson process

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#probability-theory #statistics #probability-distributions #stochastic-processes #stochastic-integrals
113
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Burkholder's inequality on $[s,t]$

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#stochastic-calculus #stochastic-integrals #stochastic-analysis #quadratic-variation
30
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Question about Stochastic Integral

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#stochastic-calculus #stochastic-integrals
317
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When is this stochastic integral a martingale

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#stochastic-calculus #stochastic-integrals
80
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Weird Ito Transformation

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
114
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Ito Lemma and identifying martingale parts

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
43
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Simple example for a predictable process that is not in $L(X)$ for a semimartingale $X$

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#stochastic-calculus #stochastic-integrals #stochastic-analysis
960
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Ito integral exponent of Brownian Motion

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
509
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Show that the solution of an autonomous SDE is a time-homogeneous Markov process

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#stochastic-processes #markov-process #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
212
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Stochastic integral involving Wiener process

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
37
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$\mathbb E[S_n'^4]\le C\cdot n^2$

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#stochastic-integrals #integral-inequality #expected-value
156
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When is the local martingale in the Itō formula a (strict) martingale?

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#probability-theory #stochastic-processes #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
202
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Law of Ito Integral

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#probability-distributions #stochastic-integrals
138
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Conditional expectation of exponent to the power of BM, representation theorem

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis

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