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New posts in martingales
What is a fair game?
probability-theory
conditional-probability
martingales
Problem 3.24 of "Brownian Motion & Stochastic Processes" by Karatzas and Shreve - Submartingales and stopping times
stochastic-processes
stochastic-calculus
martingales
Relation between steps and turns in a simple symmetric random walk
probability
combinatorics
martingales
expected-value
random-walk
Kind of converse of Kolmogorov maximal inequality
probability
probability-theory
inequality
stochastic-processes
martingales
Continuous local martingale of finite variation is constant
stochastic-processes
martingales
Limit value of the product martingale $\exp(uX_n - nu^2 \sigma^2 / 2)$
probability-theory
martingales
random-walk
probability-limit-theorems
A problem related to basic martingale theory
probability-theory
martingales
Uniformly integrable local martingale
probability-theory
martingales
uniform-integrability
local-martingales
Some version of Itô isometry with conditional expectations
stochastic-processes
martingales
conditional-expectation
stochastic-integrals
isometry
Compute the probability that the first $k$ draws are red and the next $n-k$ are green
probability
statistics
stochastic-processes
martingales
Random walk as a martingale?
stochastic-processes
martingales
random-walk
martingale and filtration
probability
measure-theory
probability-theory
martingales
Convergence of sum of triangular array of random variables
probability-theory
convergence-divergence
proof-writing
martingales
Motivation behind study of martingales
probability-theory
random-variables
martingales
big-picture
Why is this process bounded?
probability-theory
martingales
stopping-times
Constructing Martingales from Markov Processes
stochastic-processes
martingales
markov-process
"Converse" of optional stopping theorem
probability
probability-theory
stochastic-processes
martingales
stopping-times
A uniformly bounded local martingale is a martingale
probability-theory
stochastic-processes
martingales
Show that $X_0=Y_0$ and that $X_n$ is a martingale.
probability
statistics
stochastic-processes
martingales
Prove $ \int_0^t 2X_s \ dX_s = X_t^2-X_0^2-\langle X, X\rangle_t $ WITHOUT Ito's formula
probability-theory
martingales
stochastic-integrals
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