For question about discrete or continuous (super/sub)martingales. Often used with [probability-theory] tag.

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23 views

Condition for $L^p$ convergence of backwards martingale

Is there any condition that is known to be sufficient for $L^p, 1<p<\infty$ convergence of a backwards martingale (and why is it sufficient)? I couldn't find anything else than the normal $L^1$ ...
0
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1answer
12 views

Doob Decomposition is $L^1$ bounded

Suppose $X_n$ is a martingale that is $L^p$ bounded for some $p > 1$. Then the problem asks to show that the Doob Decomposition of the submartingale $|X_n|^p = M_n + A_n$ where $M_n$ is a ...
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1answer
41 views

Show martingale space is a Banach space

Let $\mathcal{H}^1 = \{M \in \mathcal{M}, E[sup_{t\geq 0} |M_t|] < \infty\}$, where $\mathcal{M}$ is the space of right continuous with left limits martingales. Show that $\mathcal{H}^1$ is ...
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2answers
22 views

Find the value of the real $\alpha$ for which exp($2B(t) - \alpha t$) is a martingale.

I tried to answer using the three conditions to be a martingale (measurability, integrability, and martingality), validating the integrability condition, which is $$ E |e^{2B(t) - \alpha t} | < ...
1
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1answer
26 views

Optional Stopping Theorem for Stochastic Processes with Constant Mean (and not a Martingale)

Let $(X_n)_{n\geq 1}$ be a martingale with respect to $(Y_n)_{n\geq 1}$, i.e., the martingale condition $$ \mathbb{E}[X_n|Y_1, \ldots, Y_{n-1}] = X_{n-1} $$ holds. From this condition, it follows ...
2
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0answers
78 views

Almost surely either $X_n=0$ for some $n$ or $\lim_{n\to\infty}X_n=\infty$

How I came to this: Let $\{X_n\}_{n\in\mathbb{N}}$ be a sequence of non negative random variables, $\mathcal{F}_n=\sigma(X_l,l\leq n)$ the sequence of corresponding sigma-algebras and define ...
3
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1answer
41 views

Uniformly integrable martingales and stopping time

I want to prove the statement below: Theorem: Let $(Y_n,\mathfrak{F})$ be a uniformly integrable martingale. Show that $(Y_{T\wedge n},\mathfrak{F})$ is a uniformly integrable martingale for any ...
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1answer
25 views

Unbounded stopping time

Suppose we have a sequence of i.i.d. random variables $(X_n)_{n \in \mathbb{N}}$ with $\mathbf{P}(X_n = -1) = \frac{1}{2}, \mathbf{P}(X_n = 0) = \frac{1}{3}, \mathbf{P}(X_n = 1) = \frac{1}{6}$. Denote ...
2
votes
0answers
70 views

Exercise in Probability/Measure Theory

Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space. Let also $A_{n,j}\in\mathcal{F},n\in\mathbb{N}_0,j\in\{1,2,3,...,2^n\}$, be such that for all ...
0
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1answer
43 views

Proving that Doob's martingale is a martingale

I'm working on my first ever proof that a stochastic process is a martingale, and I'm a bit confused. Is there a "standard machine" for these proofs? To be more specific, I am trying to show that if ...
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0answers
17 views

Inverse Bessel Process

Is there any reference on this process? For example, analytical derivations for the hitting times, density, etc? Im studying local martingales and am interested in the density of hitting times for ...
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0answers
14 views

Expectation of the square of a process, martingales [duplicate]

Let $(X_n)_{n=1}^{\infty}$ be a sequence of i.i.d. r.v. on $(\Omega,\mathcal{F},\mathbb{P})$. Assume that $\mathbb{E}X_1=0$ and $\mathbb{E}X_1^2=1$, consider $\mathcal{F}_n=\sigma (X_1,...,X_n)$, and ...
3
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1answer
61 views

Exercise on Martingales

I have been struggling with the following exercise and I was wondering whether my solution is correct or not. I am pretty sure about the second part of the question (the martingale part) but not so ...
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1answer
52 views

Martingale property of Brownian motion with resprect to a different filtration

Let $W$ be a Brownian motion on $(\Omega,\mathcal F,\mathbb P)$ and let $N$ be a Poisson process on the same probability space. Denote by $\mathbb F$ the filtration that is generated by $(W,N)$. Now ...
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0answers
18 views

Proof that a stopped continuous-time martingale is a martingale.

The proof for a stopped discrete-time martingale is shown as follows. Let $M=(M_n)_{n\ge0}$ be a discrete-time martinglae w.r.t. the filtration $(\mathcal F_n)_{n\ge0}$, and let $M^T=(M_{n\land ...
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1answer
42 views

$Cov(X_t,X_s)$ of martingales

Let $X_t = \int_0^t W_u^2dW_u$ martingale compute : $$Cov(X_t,X_s)$$ note that $$Cov(\int_0^T a(t)dWt,\ \int_0^T b(t)dWt)\ = E[\int_0^T a(t)b(t)dWt]$$ My attempts: $$Cov(X_t,X_s)\ = ...
2
votes
3answers
169 views

Prove this is a Martingale

Prove that $$Z_t:=\frac{e^{W_t^2/(1+2t)}}{\sqrt{1+2t}}$$ is a $\mathscr{F}_t$-martingale. I have tried all the usual manipulations without any success. The only useful fact I think should be used is ...
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0answers
31 views

another martingale maximal inequality

Suppose $X_n\ (n\geq 0)$ is a martingale where $E[X_0]=0$, $E[(X_i)^2]<\infty$ (for every $i$). Prove that $$Pr\left(\max_{0\leq i\leq n} X_i > r\right) \leq ...
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0answers
36 views

Bound on sum random variables and Martingales

Suppose $X_n=q$ with probability $p$, and $X_n=-p$ with probability $q$ where $p+q=1$. Prove that for every $n$, the probability that $S_k\geq b$ for any $k$ as $1\leq k \leq n$ is at most ...
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0answers
16 views

Strictly local martingales: what is the intuition behind them?

I did post this on the Quant Finance exchange a while back, but without any luck A process $X_t$ is a local martingale if for each increasing sequence of stopping times $\{τ_k,\ k=1,2,...\}$ the ...
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1answer
45 views

Equality relating $L^2$ convergence and martingales

I am baffled with this question: Let $(B_t)$ be a standard Brownian motion. For any $n \in \mathbb{N}$, let $(f_n)$ be a sequence of functions defined by $$ f_n(x) = \left\{ \begin{array}{lr} ...
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1answer
35 views

$L^p$ Martingale convergence theorem

I am trying to prove the $L^p$ Martingale convergence theorem for martingale $X=(X_n)^{\infty}_{n=0}$ on $(\Omega,\mathcal{F},(\mathcal{F}_n)^\infty_{n=0},\mathbb{P})$ which is bounded in $L^p$ for ...
5
votes
1answer
53 views

prove this martingale inequality

The problem is like this: Let $Y_1,Y_2,\ldots$ be nonnegative i.i.d. random variables with $E(Y_m)=1$. Let $X_n=\prod_{m\leq n} Y_m$, show that $\lim_{n\rightarrow \infty}X_n=0$ if $P(Y_m=1)<1$. ...
4
votes
1answer
46 views

Uniformly integrable martingale in a finite time horizon

Let $\{ M (t) \mid t \in [0,T] \}$ be a martingale and $\{ \tau_n \mid n = 1, 2, \ldots\}$ be an increasing sequence of stopping times such that $\tau_n \rightarrow \infty$ as $n \rightarrow \infty$. ...
4
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0answers
24 views

Harmonic functions and null recurrence

Let $(X_n)_{n \geq 0}$ be a irreducible Markov chain defined on a countable state space $S$. It is known some ways to figure out if this chain is recurrent or not looking for superharmonic functions ...
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1answer
19 views

Positive component of a submartingale is a submartingale

I am trying to prove the Doob's Upcrossing Lemma and the first step requires to prove that: If $X$ is a submartingale, then $(X-a)_+$ is a submartingale. I found it intuitive but i failed to prove. ...
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1answer
40 views

A proof about martingales and variance

We consider a martingale $(S_n)$ with $\mathbb E(S_n^2)<K<\infty$. Suppose that $\mathrm{ Var}(S_n)\rightarrow0$. Prove that $S=\lim_{n\rightarrow \infty}S_n$ exists and is constant a.s. I ...
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1answer
36 views

Criterion of two measures are absolute continuous or singular

I was reading the Durrett's book: probability theory and example and stuck at some stages about the radon-nikodym derivatives related topic: Here is the setting: Let $\mu$ and $\nu$ be measures on ...
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0answers
114 views

Condition for a process to be a supermartingale

I am struggling in this question: Let $W$ denote a Brownian motion. Given that $ X_t = e^{- \lambda t} X_0 + \int_0^t \sigma e^{- \lambda (t-s)} \,dW_s$ solves the SDE \begin{equation} dX_t = - ...
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1answer
31 views

Prove the process is a martingale with respect to the natural filtration

Let $\{M_n\}_{n\ge 0}$ be a symmetric simple random walk. Fix a real $b$. Prove that the process $S_n = e^{bM_n} (\frac{2}{e^b + e^{-b}})^n$, $n = 0,1,2,....$, is a martingale w.r.t. the natural ...
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1answer
33 views

Showing martingale property of a series

I want to show that the following series is a martingale. $P(X_1=1)=P(X_2=-1)=0.5$ and $P(X_i=X_{i-1})=p$ and $ P(X_i=-X_{i-1})=1-p$ $S_n=X_1+...+X_{n-1}+\frac{1}{2(1-p)}X_n$ We need to show ...
0
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1answer
32 views

How to show that this is a martingale process?

$X_1,X_2,...,X_n.. \ $ are independent and $X_n\sim Pois (n)$. How can I show that $S_n=X_1+X_2+...+X_n-n(n+1)/2$ is a martingale with respect to the natural filtration? Thanks in advance!
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0answers
17 views

Interpreting a sequence and showing that it is a martingale.

I saw that one guy already asked this question, but he did not get an answer and I wasn't able to comment his thread. So, hopefully this is allowed. I am wondering about the following problem: The ...
3
votes
1answer
71 views

conditional expectation of some solution of SDE

Let $(M_t)$ be a nonnegative martingale in a probability space $(\Omega, \mathcal{F}, \{ \mathcal{F}_t \}, \mathbb{P} )$ given by \begin{equation} dM_t = M_t \sigma_t dW_t \end{equation} for some ...
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1answer
26 views

deterministic expression of stochastic integral

Let $(M_t)$ be a non-negative martingale on a probability space $(\Omega, \mathcal{F}, \{ \mathcal{F}_n \} , \mathbb{P})$. Let $dM_t = M_t dW_t$. How can we write the following \begin{equation} ...
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1answer
26 views

Quadratic covariation of Martingales

I was succesful at showing that the quadratic covariation $\langle\cdot ,\cdot \rangle_t$ is a positiv semidefinit, symmetric and bilinear form for each $t$ on the set of local martigales. So the ...
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1answer
27 views

Interpret the following sequence $X_n^{(k)} = \underset{1 \leq i_1 < \dots <i_k \leq n }{\sum} \; \xi_{i_1} \dots \xi_{i_k}$

I'm working on a problem in which I have the following set up. Let $\xi_1, \xi_2, \dots$ be independent random variables with $E[\xi_i] =0$ for all $i$. Then they define the following sequence $ ...
3
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1answer
43 views

Where does this product of random variables converge to?

Consider a sequence of random variables $(X_n)_{n \in \mathbb{N}}$ wich are independently normal distributed $N(0,\sigma^2)$. Set $M_0$=1 and $$ M_n =\exp \left( \sum_{i=1}^n X_i - ...
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1answer
58 views

Martingale $X_n \to \infty$ a.s.

Construct a martingale $X_n$ such that $X_n \to \infty $ a.s. I have trouble coming up with such an example and prove it. Can someone provide an example?
2
votes
1answer
23 views

local martingale bounded below by a DL process

Let a continuous adapted process $Z= (Z_t)_{t \geq 0}$ be of class DL if \begin{equation} \{ Z_{\tau \wedge t} : \, \tau \text{ is a stopping time } \} \end{equation} is uniformly integrable, for each ...
3
votes
2answers
43 views

Lévy's upward theorem and $\mathcal{L}^p$ convergence.

Lévy's upward theorem: Let $Y \in \mathcal{L}^1(\Omega, \mathcal{F}, P)$, $(\mathcal{F}_n)_{n=1}^{\infty}$ a filtration of $\mathcal{F}$ and $\mathcal{F}_{\infty} = \sigma( \bigcup_{n=1}^{\infty} ...
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1answer
29 views

show that the solution is a local martingale iff it has zero drift

Most financial maths textbook state the following: Given an $n$-dimensional Ito-process defined by \begin{equation} X_t = X_0 + \int_0^{t} \alpha_s \,d W_s + \int_0^{t} \beta_s \,d s, \end{equation} ...
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1answer
19 views

Asymmetric simple random walk?

It comes from the book Probability: Theory and Example. I don't understand the part marked with red line. Why it cannot converge to an interior point of $(a,b)$? Can anyone help? Thanks so much!
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1answer
35 views

Property of submartingale and supermartingle?

Is it true that for a submartingale, $$E(X_n) \le E(X_m)$$ for $n \le m$. And for a supermartingale, $$E(X_n) \ge E(X_m)$$ for $n \le m$. If it is true, then why? I feel confused because the ...
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0answers
38 views

Where is the assumption of right continuity used in the following proof?

Lemma:If $X$ be a right-continuous positive local martingale then , $X$ is a generalized super martingale Proof: $\forall s<t$ $$E[X_t\mid F_s]=E[\lim_{n\to\infty} X_{t \wedge\tau_n}\mid F_s] \leq ...
3
votes
3answers
62 views

Problem similar to Kolmogorov's inequality using martingale.

Suppose that $X_k$ is a sequence of independent random variables with mean zero and variance $1$. Let $S_k=X_1+\cdots+X_k$ and let $$ h(\lambda)=\limsup_{n \rightarrow \infty}P\left(\max_{1\leq k\leq ...
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0answers
60 views

fractional Brownian motion is not a semimartingale. How to apply Ergodic theorem in the proof of this theorem?

Here is the proof of the theorem. I couldn't understand how to apply Ergodic theorem in this proof. Let $X=(X_t)_{t\geq0}$ be a fractional Brownian motion with self-similar parameter $H\in(0,1)$. We ...
2
votes
1answer
37 views

Martingales and variance

For a martingale $(Z_n)_{n\in \mathbb N}$ define $X_i=Z_i-Z_{i-1}$ with $Z_0=0$ Show: $$Var(Z_n)=\sum_{i=1}^nVar(X_i)$$ My attempt: We can write $Z_n=\sum_{i=1}^nX_i$, so we actually just have to ...
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0answers
35 views

martingale convergence proof

This is out of Durrett 5.5.7. Let $X_n \in [0,1]$ be adapted to $\mathcal{F_n}$. Let $\alpha,\beta > 0$ such that $\alpha + \beta = 1$. Suppose that $$ P(X_{n+1} = \alpha + \beta X_n | ...
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0answers
22 views

Doob's decomposition of $X_n=\sum _{m=1}^n1_{B_m}$, where $B_m \in \mathcal{F}_m$.

$X_n=\sum _{m=1}^n1_{B_m}$, where $B_m \in \mathcal{F}_m$. I want to find the Doob's decomposition. I think $X_n=Y_n+Z_n$, where $Y_n$ is a martingale, $Z_n$ is a predicable process. Then ...