List questions from stopping-times

Published on 24 Mar 2026 - 23:56

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Show that $E(X|\mathcal{F}_\tau)=\sum\limits_{n\in\mathbb{N}}E(X|\mathcal{F}_n)\mathbf{1}_{\{\tau=n\}}$

Published on 27 Nov 2018 - 14:51

183

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Prove that $\mathbf{E}(X_{\tau_2}|\mathcal{F}_{\tau_1})=X_{\tau_1}$

Published on 28 Nov 2018 - 14:46

598

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Stopping time with finite expectation

Published on 28 Nov 2018 - 22:00

77

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A hitting time bigger than another hitting time

Published on 30 Nov 2018 - 2:05

173

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Conditional expectation of martingale and two bounded stopping times

Published on 03 Dec 2018 - 12:00

194

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Stopping time of Feller process

Published on 03 Dec 2018 - 12:33

1k

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Martingale of random walk and stopping time

Published on 06 Dec 2018 - 21:06

34

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The problem is about the expection of the exitpoint distance for the symmetric random walk.

Published on 08 Dec 2018 - 5:41

2.5k

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Probability on first hitting time of Brownian motion with drift

Published on 08 Dec 2018 - 16:08

34

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Conditions for Markov process not to reach point at infinity

Published on 08 Dec 2018 - 21:14

106

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Why is $T:=\inf\{t\geq0:B_t\leq at^p-b\}$ a stopping time?

Published on 09 Dec 2018 - 0:47

220

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If $E(X_n^2)<\infty$, then for a Martingale $E(X_n^2)<M$ iff $\sum_{n=1}^\infty E[(X_n-X_{n-1})^2]<\infty$

Published on 10 Dec 2018 - 23:07

71

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Is the following stopping time finite: $T:=\inf\{t\geq 0:B_t\geq \sqrt{t}+1\}?$

Published on 12 Dec 2018 - 23:47

96

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Hitting time distribution with exponential growth

Published on 14 Dec 2018 - 2:32

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Simulation of hitting time of brownian motion with drift

Show that $E(X|\mathcal{F}_\tau)=\sum\limits_{n\in\mathbb{N}}E(X|\mathcal{F}_n)\mathbf{1}_{\{\tau=n\}}$

Prove that $\mathbf{E}(X_{\tau_2}|\mathcal{F}_{\tau_1})=X_{\tau_1}$

Stopping time with finite expectation

A hitting time bigger than another hitting time

Conditional expectation of martingale and two bounded stopping times

Stopping time of Feller process

Martingale of random walk and stopping time

The problem is about the expection of the exitpoint distance for the symmetric random walk.

Probability on first hitting time of Brownian motion with drift

Conditions for Markov process not to reach point at infinity

Why is $T:=\inf\{t\geq0:B_t\leq at^p-b\}$ a stopping time?

If $E(X_n^2)<\infty$, then for a Martingale $E(X_n^2)<M$ iff $\sum_{n=1}^\infty E[(X_n-X_{n-1})^2]<\infty$

Is the following stopping time finite: $T:=\inf\{t\geq 0:B_t\geq \sqrt{t}+1\}?$

Hitting time distribution with exponential growth

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