Could anyone give me an example of an Ito process that is submartingale? Thanks a lot
2026-04-29 07:30:30.1777447830
Ito process that is a submartingale
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How about $B_t^2$, with $B$ a Brownian motion.
More generally, for an Ito process like $X_t=X_0+\int_0^t H_s\,ds+\int_0^t K_s\,dB_s$, if $H_s\ge 0$ a.s. for all $s$, then $X$ is a submartingale.