I'm looking for suggestions for well written books dealing with martingale theory, not necessarily exclusively. I'm also looking for a nice compilation of problems, preferably with answers, on this ...
I am interested to know if there are any simple sufficient conditions on continuous local martingale to have absolutely continuous quadratic variation. In general , we know only that quadratic ...
Does there exist a martingale which has Marginal distributions same as Brownian Motion marginals but the process itself not being Brownian motion? Any references are highly appreciated. Thanks.
I am currently studying Brownian Motion and Stochastic Calculus. I believe the best way to understand any subject well is to do as many questions as possible. Unfortunately, I haven't been able to ...
I've learned that for each continuous local martingale $M$, there's a unique continuous adapted non-decreasing process $[M]$ such that $M^2-[M]$ is a continuous local martingale. For a local ...