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UBM
  • Member for 7 years, 2 months
  • Last seen more than a month ago
5 votes
3 answers
443 views

Approximating a general process by a simple process in definition of integration wrt Brownian motion

5 votes
1 answer
294 views

A case where a stochastic exponential is a true martingale

4 votes
1 answer
35 views

Show that $P(B)>0$ where $B = \{\tau < T \text{ and } |X_t| \leq \theta -1 \text{ for all } 0 \leq t \leq \tau\}$ and $X$ is the sol of an Ito SDE

3 votes
3 answers
693 views

if $M$ is a UI - martingale then $M_t \rightarrow M_{\infty}$ in $L^1$

2 votes
1 answer
263 views

Exponential submartingale inequality

2 votes
0 answers
63 views

If we have $(\Omega, \mathscr{F}, P)$ and a filtration $\{\mathscr{F}_t^W; 0 \leq t \leq T\},$ how can we justify that $\mathscr{F} = \mathscr{F}_T$?

2 votes
1 answer
160 views

Is it possible to obtain the Radon-Nikodym derivative $\left. \frac{dQ}{dP} \right|_{\mathscr{F}}$ from a UI martigale?

2 votes
1 answer
372 views

Example of stochastic process that is adapted but not predictable

1 vote
0 answers
27 views

Let $P \sim Q$. Is it true that if (the r.v.) $X \in L^2(\Omega, \mathscr{F},P)$ then $X \in L^2(\Omega, \mathscr{F},Q)$?

1 vote
1 answer
124 views

Given a prob measure P and a P-UI martingale $\{ \rho_t \}$ define $Q \sim P$ s.t. $E[\frac{dQ}{dP}|\mathscr{F}_t]=\rho_t$

1 vote
1 answer
337 views

Holder inequality with $q = \infty$

1 vote
0 answers
104 views

How can I prove that the solution to this SDE is a Markov process?

1 vote
0 answers
46 views

Let $\{ X^{\tau_n} \}$ be a sequence continuous stopped process. Does $E[X_t^{\tau_n}]<C$ for all $n \in \mathbb N$ imply that $E[X_t]<C$?

0 votes
2 answers
331 views

X is a predictable proccess iff X is $\{ F_{t^-}\}$-adapted?