0
votes
0answers
43 views

question related to Tanaka Formulae

Supposse $X=(X_t)$ is a cadlag martingale taking values in $\mathbb{R}$. If $f:\mathbb{R}\to\mathbb{R}$ is a convex function, then we have Tanaka Formulae. Now let $g: ...
1
vote
0answers
36 views

question about the optimal decomposition of supermartingale

Given a filtered probability space $(\Omega, \mathbb{F}, \{\mathcal{F}_t\}_{0\le t\le 1}, \mathbb{P})$, let $X$ be a cadlag martingale and $V$ be cadlag supermartingale. Suppose $V$ has the following ...
0
votes
0answers
65 views

a question about Dambis, Dubins-Schwarz Theorem

Let $M=(M_t)_{0\le t\le 1}$ be a continous $\mathbb{F}=\{\mathcal{F}_t\}_{0\le t\le 1}$-martingale s.t. $M_0=0$. Now my question is whether there exists a Brownin motion $B$ s.t. ...
0
votes
0answers
31 views

a question about the modification of a supermartingale

Let $\mathbf{D}\subset\mathbf{D}([0,1],\mathbb{R}_+)$ denote the space of positive cadlag functions $\mathbf{x}$ defined on $[0,1]$ with $\mathbf{x}(0)=1$. Define the canonical process ...
1
vote
1answer
75 views

explicit characterization of the stochastic integrand

Let $V$ be a cadlag positive supermartingale with the following decomposition: $$V_t=V_0+\int_0^tH_sdX_s-K_t$$ where $X$ is a cadlag local martingale and $K$ is an adapted increasing process with ...
1
vote
0answers
73 views

question about Doob-Meyer decomposition

Given a filtered probability space and let $X$ be a cadlag local martingale defined on this space. Let $V$ be a cadlag supermartingale and assume we know the following decomposition: ...
7
votes
2answers
290 views

Can every discrete martingale be embedded in a continuous martingale?

Let $(X_k)_{k=0,1,..., n}$ be a discrete martingale defined on some probability space $(\Omega,\mathcal{F},\mathbb{P})$. I would like to know whether there exists a (continuous) martingale ...
1
vote
0answers
93 views

asymptotic variance of sample autocorrelation of two iid random variables

I am trying to prove that the variance of the sample lag-1 autocorrelation $$\hat{\rho}=\frac{\sum_{t=1}^n(x_t-\bar{x})(x_{t-1}-\bar{x})}{\sum_{t=1}^n(x_{t-1}-\bar{x})^2}$$ for an i.i.d. R.V is ...
0
votes
0answers
136 views

Sufficient condition for local martingale property of stochastic integral

Is the following correct and/or a (simple) known result? Let $X$ be a local martingale and $H$ an integrand for $X$, such that the stochastic integral $\int H\cdot dX\ge x$ for some random variable. ...
6
votes
0answers
174 views

Doob's inequality for martingale “convolution”

Let $(X_t, t \in \mathbb{N})$ be a martingale, and let $a \leq b \leq T \in \mathbb{N}$ be constants. Is there something like Doob's inequality for $\mathbb{E} \sup_{a \leq t \leq b} X_t(X_T-X_t)$, ...
0
votes
1answer
119 views

a dominated convergence theorem for martingale (II)

The question is presented in a dominated convergence theorem for martingale Let $\{(X_1^n, X_2^n)\}_n$ be a sequence of martingales defined some probability space. (which means ...
2
votes
1answer
92 views

Can $<.>$ of a martingale determine it only?

Let $\Omega$ be the space of continuous functions defined on $[0,1]$. Define the canonical process $B$ by $$B_t(\omega)=\omega_t,~ \forall\omega\in\Omega$$ Let us equip $\Omega$ with the usual ...
3
votes
1answer
115 views

a $L^1$ convergence for backward martingale

I have a question which may be naive, but I can not find the related result in the classical reference such as "Foundations of Modern Probability" and "Probability"(Billingsley). So if someone knows ...
0
votes
1answer
98 views

Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...
0
votes
1answer
78 views

construction of a approximate martingale

everyone. Given a probabilistic space $(\Omega, \mathcal{F}_t, \mathbb{P})$ and a martingale $(M_t)_{t\leq 1}$ on it. Suppose $$M_1\stackrel{\mathbb{P}}{\sim}\mu$$ where $\mu$ is a probability ...
4
votes
0answers
103 views

compactness of a probability set

I have a question about the compactness of a set of martingale measures. Let $\Omega=\mathcal{C}[0,1]$ be the space of continuous functions on $[0,1]$ and $\mathcal{M}_{\Omega}$ be the family of ...
4
votes
2answers
196 views

Probability of winding number of 2D Brownian Motion

Let $B_t$ be a 2D Brownian Motion with $B_0 = (1,0)$. Now, express $B_t$ in polars, that is, $B_t = (r(t), \theta(t))$. Let $\tau = \inf\{t > 0 : \theta(t) \geq 2 \pi \}$. What is $\mathbb{P}[\tau ...
1
vote
0answers
79 views

Supermartingale inequality on a particular event

Say, I have a supermartingale $Y_t$ with respect to the filtration $F_t$. Let $T$ and $S$ two stopping times greater than $t>0$ such that on the event $A$, $T>S$, then since $Y_t$ is a ...
1
vote
1answer
294 views

Iterated Ito Integral, Gaussian Volterra Process

Let me define $$ J^f_{n}(t) = \, \int_0^t \int_0^{t_1} \ldots \int_0^{t_{n-1}} f(t, t_1, \ldots, t_n) \; dB_{t_n} ...dB_{t_1} $$ where $f:[0,1]^{n+1} \to \mathbb{R}$ is a nice deterministic ...
1
vote
0answers
160 views

What conditions on a filtration guarantee that a (sub)martingale has a continuous modification?

There is a theorem as follows: Theorem. Let $\mathcal{F}_t$ be a filtration which is right-continuous and complete. Assume $M_t$ is a submartingale adapted to $\mathcal{F}_t$ such that $t \mapsto ...
1
vote
1answer
239 views

On martingale representation theorem

Let $(\Omega,\mathcal{F},P)$ be a probability space and $(\mathcal{F_{t}})_{0\le t\le T}$ a filtration generated by standard Brownian motion $W_t$. Let $f(x)$ be $C^1$ function such that $|f'(x)| ...
-1
votes
1answer
177 views

Maximal inequalities for certain functions of a martingale difference sequence

Suppose $\xi_1,\ldots \xi_T$ is a martingale difference sequence. Then, 1) For any $a\in \mathbb{R}^{+}$, can we say something about the sequence $\xi_1^2\mathbb{1}(\xi_1\geq a),\ldots, ...
4
votes
0answers
183 views

Some constants in Martingale Stein inequality

Dear all, the following is a special case of Stein inequalities for martingales. $\textbf{Theorem}$ Let $(\Omega, \mathbb{P})$ be a (standard) probability space equipped with a filtration of ...
8
votes
3answers
708 views

Compactness of the set of densities of equivalent martingale measures

Consider an incomplete market $(\Omega,\mathcal F,\mathbb P)$ driven by a semimartingale $S=(S_t)_{t\in[0,T]}$. Under the no free lunch under vanishing risk (NFLVR) assumption, the set $\mathcal ...
4
votes
1answer
225 views

What is the optimal growth of the constant in BDG?

Let $X$ be a continuous local martingale, and $\langle X \rangle$ be its quadratic variation process. The "standard" proof of Burkholder-Davis-Gundy inequalities found in books yields $(\mathsf{E} ...
7
votes
5answers
560 views

Properties preserved under passage to augmented filtration

Dear all, generally speaking, my question is about which properties of a stochastic process are preserved when I skip from the original to the augmented filtration. Recall that if ...
3
votes
4answers
794 views

Men in a bar - stoch. processes

Hello everyone, I'm trying to solve a applied stochastic process problem and even the example is beautiful, I don't know how to approach it. Here the problem: 10 men want to get out of a bar, they do ...
2
votes
1answer
479 views

Stochastic integrals as honest martingales — exponential damping

We have a given positive martingale ρt, with the dynamics: $$\textrm{d}\rho_t = \lambda_t \rho_t \textrm{d}W_t$$ where $W_t$ is a standard Brownian motion. Now we have an "exponentially dampened" ...
3
votes
1answer
369 views

Stochastic integrals as honest martingales — comparison criterion

We have a given positive martingale $\rho_t$, with the dynamics: $$\textrm{d} \rho_t = \lambda_t \rho_t \textrm{d} W_t$$ where $W_t$ is a standard Brownian motion. Now we have a "dumped" process p_t: ...
1
vote
2answers
262 views

Martingale part of the discontinuous put payoff

I need the martingale part of the put payoff (not $C^2$..). Where $S_t=exp(\sigma W_t -\frac{\sigma^2t}{2})$ $d[(S_t -K)^+ ]$ ?? I guess I need to use local times but how?
9
votes
1answer
1k views

Martingales in both discrete and continuous setting

I am wondering, polynomials like $S_n^4-6n S_n^2+3n^2+2n$ for $$S_n=\sum_{i=1}^n{X_i}$$ where $$\mathbb{P}(X_i=1)=\mathbb{P}(X_i=-1)=\frac{1}{2}$$ is a martingale (under the conventional filtration). ...
8
votes
4answers
2k views

Brownian motion, martingales, Markov Chains - Rosetta Stone

What are the most fundamental/useful/interesting ways in which the concepts of Brownian motion, martingales and markov chains are related? I'm a graduate student doing a crash course in ...