List questions from stopping-times

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independence of stopping time and a sigma algebra

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Expectation of hitting time for simple symmetric random walk

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Strong markov property in two dimensional Brownian motion

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Stopping time and its probability showing $\mathbb{P}(\exists n \in \mathbb{N}_{0} : \sum_{k=1}^{n}V_{k} > a) \leq e^{-\lambda a}$

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How can I justify $E[X_{\tau}]\leq E[X_{0}]=1$ If I cannot show $\tau \leq c$ a.s.

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Random variable measurable with respect to stopping time sigma-algebra

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Showing that stopped filtration $\mathcal{F}_{S \vee T} = \sigma(\mathcal{F}_S,\mathcal{F}_T)$

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l1-bounded local martingale is uniformly integrable martingale

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For any probability measure $\mu$ on $\mathbb R$ there is a stopping time $T$ such that the distribution of $B_T$ equals $\mu$, $B$ Brownian motion.

Published on 21 Oct 2019 - 6:36

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Stopping times and the left limit

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List Question

Laplace transform of stopping times

independence of stopping time and a sigma algebra

Stopping time, event, simple description

Expectation of hitting time for simple symmetric random walk

Strong markov property in two dimensional Brownian motion

Stopping time and its probability showing $\mathbb{P}(\exists n \in \mathbb{N}_{0} : \sum_{k=1}^{n}V_{k} > a) \leq e^{-\lambda a}$

How can I justify $E[X_{\tau}]\leq E[X_{0}]=1$ If I cannot show $\tau \leq c$ a.s.

Random variable measurable with respect to stopping time sigma-algebra

$\mathcal{F}_\tau$-measurability of stopping time

Stopping times of càdlàg processes

Showing that stopped filtration $\mathcal{F}_{S \vee T} = \sigma(\mathcal{F}_S,\mathcal{F}_T)$

l1-bounded local martingale is uniformly integrable martingale

For any probability measure $\mu$ on $\mathbb R$ there is a stopping time $T$ such that the distribution of $B_T$ equals $\mu$, $B$ Brownian motion.

Stopping times and the left limit

Expected number of games of gambler's ruin

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