The martingales tag has no usage guidance.

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### 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 = ...

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364 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 ...

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### Which functional can preserve the martingale property?

Let $M^n=(M^n_t)_{t\in [0,T]}$ be a sequence of continuous (or cadlag) martingales. Let $F : \mathcal D([0,T],\mathbb R)\to \mathbb R$ be some measurable function, where $\mathcal D([0,T],\mathbb R)$ ...

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225 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 ...

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727 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 ...

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65 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 ...

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### 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 ...

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### 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 ...

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340 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} ...

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90 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 ...

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### 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 = ...

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578 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" ...

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439 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:
...

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267 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 ...

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### 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 $t \leq n$, ...

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### 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, ...

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129 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, ...

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119 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?

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### 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 ...

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373 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 ...

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267 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 ...

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### $M_t = f(B_{t \wedge \tau}) + (t \wedge \tau)$ 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 ...

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### 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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858 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 ...

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### 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 ...

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### 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 ...

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### 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 ...

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### 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. ...

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### 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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178 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 $R$. Let $H=(H_t)_{t\ge 0}$ be some bounded progressively measurable process, i.e.
...

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### 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 ...

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### 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 ...

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### 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 ...

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### 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 ...

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361 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 ...

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### 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 ...

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### 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 ...

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### 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 ...

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### 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 ...

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### 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 ...

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### 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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### 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 ...

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### 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 ...

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### 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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### 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 ...

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### A result on absolute mean of a stopped supermartingale

The reason of posting the following problem here is that I heard that it is a result from some paper.
Let $(X_n, \mathscr{F_n}), n \geq 0$ be a super martingale and $T$ an $\{F_n\}$-stopping time ...

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210 views

### Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic integrals?

If $(M_t)_{t \geq 0}$ is a continuous local martingale, one can define the iterated integrals $I_0=1$, $I_1(t)=M_t$ and for $n \geq 2$ $$I_{n}(t) = \int_0^t I_{n-1} (s) \mathrm{d} M_s.$$ By noting ...

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### Bounded martingales of infinite path length

Let $(X_t)_{t \in \mathbb{N}}$ be a real-valued martingale that is bounded, i.e.,
there are $a, b \in \mathbb{R}$ such that $a \leq X_t \leq b$ for all $t$.
Define the path length $L$ of $(X_t)_{t ...

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### Reference request: Stochastic integration and martingale theory on the whole real line

I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...

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518 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 ...