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New posts in martingales
Let $S_n$ be a Simple Random Walk. What is $E[S_m|S_n]$ if $m < n$?
probability
statistics
martingales
random-walk
Azuma's inequality to McDiarmid's inequality?
probability
measure-theory
probability-theory
inequality
martingales
Show that $M_{n}=\left(\cfrac{N}{N-1}\right)^n X_n(N-X_n)$ is a martingale
probability
probability-theory
stochastic-processes
expected-value
martingales
$X(n)=2^{n}(1-Y(n))$ is a martingale?
martingales
uniform-distribution
Distribution of stopping time for biased random walk using martingales.
probability-theory
stochastic-processes
martingales
random-walk
How to show the following process is a local martingale but not a martingale?
probability-theory
brownian-motion
martingales
Possible example of stopped martingale not being in $L^1$
probability-theory
stochastic-processes
martingales
stopping-times
The payoff in binomial model is a martingale.
probability-theory
stochastic-processes
martingales
finance
How to prove that $E(M_n 1_{F})=E(M_r 1_{F})$ for a discrete-time martingale $M_n$ with $r>n$?
probability-theory
stochastic-processes
martingales
Example of filtration in probability theory
probability-theory
measure-theory
martingales
filtrations
Local martingale is locally uniformly integrable martingale?
probability-theory
stochastic-processes
martingales
uniform-integrability
Why is stopping time defined as a random variable?
probability
stochastic-processes
martingales
stopping-times
show that the solution is a local martingale iff it has zero drift
stochastic-calculus
martingales
Conditional expectation of this stochastic process?
stochastic-processes
conditional-expectation
martingales
Asymmetric random walk with unequal step size other than 1.
markov-chains
martingales
random-walk
Proof of identity about generalized binomial sequences.
probability
sequences-and-series
summation
markov-chains
martingales
Prove X is a martingale
probability-theory
martingales
One of inequalities in the proof of Martingale transforms convergence
probability
probability-theory
martingales
$n$-th power of stochastic exponential
probability-theory
stochastic-processes
stochastic-calculus
martingales
stochastic-integrals
Prove a.s. convergence of $(X_n)_n$ satisfying $E(X_{n+1} \mid F_n) \leq X_n+Y_n$ for $\sum_n Y_n<\infty$
probability-theory
convergence-divergence
martingales
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