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36 views

Quadratic characteristic and constancy

Consider a change of measure on $\mathcal{F}_{t}$ defined by the restriction of two probability measures of the form \begin{align} \frac{dQ_{t}(\theta)}{dP_{t}}=\exp^{ \theta A_{t}-\kappa(\theta) ...
0
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1answer
81 views

Predictable quadratic Variation <.> has same intervals of constancy as the process

From Revuz and Yor - Continuous Martingales and Brownian Motion 1999 Chapter IV Proposition 1.13 it is proven, that for a continuous local martingale $M_t$ the intervals of ...
1
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1answer
211 views

Supremum of a martingale

Let $(X_n)$ be a martingale. What can be said about the distribution of its maximum over a window of fixed length: $$M_n = \max_{n-10 \leq k \leq n} X_k$$ or about the "range" over a window: $$R_n = ...
0
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1answer
399 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 ...
7
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1answer
240 views

Law of Large Numbers for Martingales

I apologize in advance if this question is too basic, but I've received no response on Math Stack Exchange, so perhaps it is more appropriate here: Let $X_n$ be a square integrable martingale with ...
2
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0answers
46 views

Modify Process to a Semimartingale

The original post is from mathstackexchange According to some difficulties, i decided to ask here again. Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a ...
1
vote
1answer
89 views

Tail inequality for orthomartingales/martingale difference random fields

It is known that if $(S_i= \sum_{j \leqslant i }X_i, \mathcal F_i)$ is a martingale, then for each $ \beta>1$, $\delta\in (0,\beta-1)$ and $\lambda>0$, and each integer $N \geqslant 1$, the ...
2
votes
1answer
190 views

Question about the stochastic integral of martingales

Let $M=(M_t)_{t\ge 0}$ be a continuous martingale defined on some filtered probability space taking values in $\mathbb{R}$. Let $H=(H_t)_{t\ge 0}$ be some bounded progressively measurable process, ...
8
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1answer
277 views

Berry-Esseen bound for martingale sequence with varying and dependent variances

Let $(X_{1},\ldots,X_{k},\ldots)$ be a martingale difference sequence, i.e. $$ E[X_{k}|\mathcal{F}_{k-1}] = 0 $$ where $\mathcal{F}_{k-1}$ is the $\sigma$-algebra filtration at $k-1$. Let ...
4
votes
1answer
239 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
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0answers
106 views

Does the martingale property holds after changing filtration?

Let $\Omega$ be the space of continuous real-valued functions $\omega=(\omega_t)_{t\ge 0}$ starting at zero, i.e. $\omega_0=0$. Let $\Lambda=\Omega\times \mathbb R_+$ and denote by ...
2
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1answer
79 views

Compactness of cadlag martingales w.r.t. to the point-wise topology

Given a sequence of cadlag (right-continuous with left limits) martingales $X^n=(X^n_t)_{0\le t\le 1}$, we may use the well known criteria to determine whether it is weakly convergent, i.e. subtract a ...
2
votes
1answer
797 views

When is the limit of Martingales a Martingale?

I have a sequence of continuous time random variables $X_n(t)$ where $t \in [0,1]$. Suppose that there is a filtration $F_t$ such that for each $n$, $X_n$ is a martingale with respect to this ...
9
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2answers
344 views

Adaptive version of the Azuma–Hoeffding inequality

The Azuma inequality states that if we have a martingale $X_1,\ldots,X_N$ that satisfies a bounded difference condition: $$|X_k - X_{k-1}| \leq c_k$$ Then: $$\Pr\left[X_N - X_0 \geq \sqrt{2\sum_kc_k^2 ...
4
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1answer
123 views

concentration inequality for $d$-dimensional martingale

Are any concentration inequality available for $d$-dimensional martingale. It is easy to find such inequality using the inequalities for single dimension, but that will contain the dimension $d$ in ...
5
votes
2answers
367 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} ...
2
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2answers
105 views

A question about Skorokhod embedding problem

The Skorokhod Embedding Problem is well known and has many solutions. Now let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion and $\tau$ be an embedding to the centered distribution $\mu$, i.e. the ...
9
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2answers
635 views

Is this ergodic inequality true?

Is anything similar to the following inequality true, $\displaystyle P\{\max_{n \leq k \leq m} |A_k f - A_n f| > \epsilon\} \leq C \frac{||A_m f - A_n f||_1}{\epsilon}$ where $A_n f = ...
3
votes
1answer
591 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
459 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: ...
10
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1answer
295 views

Extension of Dynkin's formula, conclude that process is a martingale

This question was asked here, but it did not get enough attention, so I'm crossposting it to MO. Let $u: \mathbb{R}_+ \times \mathbb{R}^d$ be a bounded $C^2$ function whose first and second partial ...
0
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0answers
49 views

methods to analyze martingale conditioned on return in the future

Consider a martingale $S_t$ on $\mathbb{Z}$ starting from 0. Assume that for any $t$, $Var[s_t\, | \, \mathcal{F}_{t-1}] < V$, where $V$ is some positive constant. Fix an $n$ and for $t \leq n$, ...
2
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0answers
75 views

Poisson kernel, follow-up question, follows that process $\left\{e^{i\theta X_t - \theta Y_t}\right\}$ is a martingale? [closed]

See here. Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. For any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...
3
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1answer
138 views

Poisson kernel, expectation, an absolute value comes in

See here. Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...
2
votes
1answer
128 views

Poisson kernel is the Cauchy distribution, reference?

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Can someone give me a reference to a proof that the Poisson kernel is the Cauchy distribution?
2
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0answers
102 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 ...
8
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1answer
410 views

A generalization of Jensen's Inequality

Jensen's inequality is well known as $$E\big[f(X)\big]\le f\big(E[X]\big)$$ where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also ...
3
votes
1answer
273 views

Proof of Pinelis (1992) - Banach space inequalities

I am reading Pinelis "An approach to inequalities for the distributions of infinite -dimensional martingales" and cannot follow his proof of Theorem 3: Let $(f_n)$ be a martingale in a separable ...
4
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1answer
82 views

$M_t = f(B_{t \wedge \tau}) + (t \wedge \tau)$ local martingale, $\textbf{E}^x[\tau] = f(x)?$

Suppose $D \subset \mathbb{R}^d$ is a domain and $f: \overline{D} \to \mathbb{R}$ is a continuous function, $C^2$ in $D$, satisfying$$f(x) = 0\text{ for }x\in \partial D,$$$${1\over2} \Delta f(x) = -1 ...
0
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0answers
86 views

strong law of large number for semimartingale

I just want to know if for semimartingale X we have $\lim_{t \rightarrow \infty} \frac{X_{t}}{<X>_{t}}=0$ or when it is possible. i know it is true for brownian motion. Thanks
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1answer
888 views

Hardy spaces: analysis <---> martingales

Let $H^p$ be the Hardy space of analytic functions on the open unit disk $\mathbb{D}$: $f \in H^p$ if $f$ is analytic on $\mathbb{D}$ and $\sup_{r < 1} \int_0^{2\pi} |f(re^{i\theta})|^p d\theta ...
2
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0answers
69 views

integrability of Brownian motion stopped at some stopping time

Let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion starting at zero and denote by $S=(S_t)_{t\ge 0}$ its running maximum, i.e. $S_t=\sup_{0\le s\le t}B_s$. Given a fixed number $p>1$, define the ...
4
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0answers
50 views

Existence of martingales given some constraint on laws

Let $X=(X)_{0\le t\le 1}$ be a continuous martingale starting at $0$, then denote by $\mu$ and $\nu$ the probability laws of $\int_0^1X_t \mathrm{d}t$ and $X_1$. Then it is easy to see that the couple ...
5
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1answer
109 views

Is it possible to prove concentration bounds from optional stopping theorem?

It is known that the optional stopping theorem from martingale theory is a very powerful theorem in probability theory in statistics. I have heard of a probability course at Stanford where ...
0
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0answers
46 views

characterization of the equivalence between two probability measures

Let $X=(X_1,...,X_n)$ be a canonical process defined on the Euclidean space $R^n$, i.e. $X(x)=x$ for all $x\in R^n$ and $\mathbb F=\{\mathcal{F}_k\}_{1\le k\le n}$ be its natural filtration, i.e. ...
1
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0answers
89 views

Quadratic Variation of a Martingale in Hlibert Spaces

I'm looking at a Martingale (actually a Martingale difference sequence), $$ M_n = \sum \delta M_n, $$ and I'd like to prove something about convergence. If Martingale is Hilbert space valued ...
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0answers
120 views

Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$

Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$. Let $T_{M}, T_{N}$ be the smallest $n$ such ...
5
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0answers
392 views

Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$. Fix $N$ and consider now a discrete version ...
2
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0answers
61 views

Question about the characteristics of semimartingales

Let $D=D([0,1,R)$ be the space of cadlag (right-continuous with left limits) functions defined on [0,1] and $X:=(X_t)_{t\in [0,1]}$ be the canonical process on $D$, i.e. $X_t(x)=x(t)$ for all $x\in ...
4
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2answers
274 views

Examples of a continuous martingale with $E[\sup\limits_{0\leq s\leq t} |M_s|]=\infty$?

A local martingale is a martingale iff it is in the class DL. The condition: for every $t\in[0,\infty)$ $$E[\sup\limits_{0\leq s\leq t} |M_s|]<\infty\tag1$$ guarantees a local martingale $M$ is ...
9
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1answer
367 views

a question on 0-1 valued stochastic process

Here's a question on probability theory from a layman (I'm a game theorist). It is very likely that the question will be a straightforward matter for someone who is a probability theorist. I guess I'm ...
1
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1answer
113 views

Concentration bound for a martingale-like setting (the expected difference decreases as the sequence increases)

I went through several martingales concentration bounds, but none of them fit the settings I am interested in, which is the following. Suppose I have a sequence of nonnegative random variables ...
1
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1answer
51 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 ...
5
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0answers
182 views

A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...
2
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1answer
145 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
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0answers
186 views

Hitting time of two dimensional continuous martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which $\mathcal{F}_t$ is filtration satisfying general conditions. $W_{t}=\left(W_{t}^{1},W_{t}^{2}\right)^{T}$ is a two dimensional Brownian ...
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5answers
3k 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 ...
3
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1answer
150 views

Conditional Form of Rosenthal's Inequality

Rosenthal's Inequality as stated in the book "Martingale Limit Theory and Its Application" by Hall and Heyde states the following: If $\{S_i, \mathcal{F}_i, 1\leq i \leq n\}$ is a martingale and ...
2
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1answer
149 views

An identity for the exponential of a martingale

I am trying to understand a Lemma in Olav Kallenberg's book "Foundations of Modern Probability" (Lemma 26.19 in the second edition or 23.19 in the first edition). The part of the lemma that I do not ...
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1answer
170 views

Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$

Consider a sequence $\{X_n\}$ of $N$ random variables. Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$. I think in general it is not possible. If ...