# Tagged Questions

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### Expectation of Square of Stopping Time

Let $B_t$ be standard Brownian motion and $a < 0 < b$. Define $T = \min \{t \geq 0: B_t \in \{a, b\} \}$. Then the expectation of $T$ is given as $\mathbb ET = |a|b$. This can be found here. My ...
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### Forming a local martingale with continuous increasing process

If $M_t$ is continuous martingale, we know that there exists quadratic variation process which is continuous and increasing. I am interested to know if the converse is also true. To make it precise ...
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### Local martingale iff each component is a local martingale?

This is probably an easy question: A local martingale is an adapted, cadlag process for which there is an increasing sequence of stopping times (going to $\infty$) such that the stopped process is a ...
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### calculate all the equivalent martingale measure

Under the assumption of no arbitrage without vanish risk, in an incomplete market $(\Omega,{\cal F}, P)$, the set of equivalent martingale measure is NOT empty, i.e. \${\cal P} = \{Q: Q \sim P\}\neq ...