List questions from stopping-times

Published on 04 Jun 2015 - 20:53

771

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"The first time a continuous local martingale grows in absolute value beyond $n$" is a localizing sequence

Published on 11 Jun 2015 - 10:55

135

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How to show that consecutive hitting times are a sequence of stopping times?

Published on 12 Jun 2015 - 22:29

462

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Martingale: Show $p\{T<+\infty \}=1$.

Published on 17 Jun 2015 - 15:43

520

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Charaterize the $\mathcal{F}_\tau$ a sigma algebra for the stopping time $\tau$

Published on 19 Jun 2015 - 18:02

618

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Secretary Problem - Optimal algorithm for expected value of candidate.

Published on 22 Jun 2015 - 8:10

132

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Illegal lottery problem (Merging dependent bernoulli trials)

Published on 03 Jul 2015 - 20:06

76

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Distribution Stopping time under Brownian motions

Published on 07 Jul 2015 - 9:23

54

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$E[|X(t)|]\leq K\implies E[|X(\tau)|]\leq K $?

Published on 11 Jul 2015 - 9:05

641

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An Algorithmic approach to the secretary problem with unknown n

Published on 27 Mar 2026 - 3:59

47

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Simple Probability Inequality with Stopping Times

Published on 25 Jul 2015 - 18:06

247

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Rewriting probabilities as expectation

Published on 30 Jul 2015 - 10:45

351

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Find $\mathbb{E}_{X_0 = x} X_\tau$ for an Ornstein-Uhlenbeck process $(X_t)_{t \geq 0}$ where $\tau = \inf\{t>0 \mid X_t \notin [a,b]\}$

Published on 29 Mar 2026 - 7:28

636

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Markov and strong Markov properties

Published on 05 Aug 2015 - 11:36

42

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Expectations of stopping times in general

Published on 06 Aug 2015 - 2:02

List Question

Brownian Motion Hitting Times

"The first time a continuous local martingale grows in absolute value beyond $n$" is a localizing sequence

How to show that consecutive hitting times are a sequence of stopping times?

Martingale: Show $p\{T<+\infty \}=1$.

Charaterize the $\mathcal{F}_\tau$ a sigma algebra for the stopping time $\tau$

Secretary Problem - Optimal algorithm for expected value of candidate.

Illegal lottery problem (Merging dependent bernoulli trials)

Distribution Stopping time under Brownian motions

$E[|X(t)|]\leq K\implies E[|X(\tau)|]\leq K $?

An Algorithmic approach to the secretary problem with unknown n

Simple Probability Inequality with Stopping Times

Rewriting probabilities as expectation

Find $\mathbb{E}_{X_0 = x} X_\tau$ for an Ornstein-Uhlenbeck process $(X_t)_{t \geq 0}$ where $\tau = \inf\{t>0 \mid X_t \notin [a,b]\}$

Markov and strong Markov properties

Expectations of stopping times in general

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