The martingales tag has no wiki summary.

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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 ...

**11**

votes

**0**answers

145 views

### Savings property: A transformation which turns nonnegative martingales into uniformly integrable ones

Background
I work in a subfield of computability theory called algorithmic randomness. We have been using martingales as long as probability theory (going back to work of von Mises). However, since ...

**10**

votes

**1**answer

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

**3**answers

733 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 ...

**7**

votes

**2**answers

545 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 = ...

**7**

votes

**2**answers

336 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 ...

**7**

votes

**3**answers

315 views

### Rosenthal like inequality for weak $\mathbb L^p$-norms

Let $p$ be a real number greater than $1$. It is well known (see Hall and Heyde's Martingale limit theory and its applications, Theorem 2.10) that there exists a constant $C_p$ such that if ...

**7**

votes

**5**answers

648 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 ...

**6**

votes

**2**answers

729 views

### De Finetti's theorem, the pointwise ergodic theorem, and reverse martingales

De Finetti's theorem says that an exchangeable sequence of random variables $X_i$ is a mixture of i.i.d. random variables. In other words, if $\mu$ is a measure on $\mathbb{R}^\infty$ that is ...

**6**

votes

**1**answer

528 views

### Change of space-time in Walsh's stochastic integral

One can read about Walsh's construction of martingale integral in the paper (pp.16-23)
www.math.utah.edu/~davar/ps-pdf-files/SPDEBookDK.pdf
For $U,V\in \mathcal{B}(\mathbb{R}\times \mathbb{R}^+), ...

**6**

votes

**0**answers

191 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 $\mathbb{E} \sup_{a \leq t \leq b} X_t(X_T-X_t)$, ...

**5**

votes

**1**answer

324 views

### Stieltjes integrals of predictable processes

I am looking for a direct proof of the fact that, roughly speaking, if $S=S_0+A+M$ is an $L^2$ semimartingale, and $M$ (the martingale part) has the martingale representation property, then for any ...

**5**

votes

**0**answers

148 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 ...

**4**

votes

**1**answer

185 views

### Reference request: Martingale decompositions (positive/negative and u.i./singular)

For a paper I am writing, I need these two facts. The proofs are fairly short, but I would rather just cite them. This is for martingales index by natural numbers. Also, I call a martingale which ...

**4**

votes

**2**answers

207 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 ...

**4**

votes

**2**answers

283 views

### Extension of the Azuma-Hoeffding inequality (when the differences are bounded with large probability)

Let $(X_i)$ be a super-martingale and suppose their differences are bounded ''with high probability'', that is
$$\mathbb{P}(\exists\,i=1,\dots,n\text{ s.t. }|X_i-X_{i-1}|>c_i) \,\leq\, \epsilon$$
...

**4**

votes

**2**answers

399 views

### Path continuity for (closed) martingales?

Take a time interval $[0,T]$, and a filtered probability space $(\Omega,P,\mathcal{F},\mathcal{F}_t)$. If $X \in L^1(\mathcal{F}_T)$, then $M_t = E [X \ | \ \mathcal{F}_t]$ is a martingale. If I ...

**4**

votes

**1**answer

784 views

### Distribution of running maximum of a local martingale

Let $(\Omega, \mathcal{F}, \mathbb{P}, \mathcal{F}_t)$ be a given
probability space with usual conditions, on which $W$ is a standard
Brownian motion. For $x \ge 0$, consider
$$X(t) = x + \int_0^t ...

**4**

votes

**1**answer

238 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} ...

**4**

votes

**0**answers

74 views

### 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 ...

**4**

votes

**0**answers

117 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 ...

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**0**answers

192 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 ...

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votes

**4**answers

795 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 ...

**3**

votes

**10**answers

2k views

### Best introduction to probability spaces, convergence, spectral analysis

I'm not sure if this stuff all falls under what most would just term "probability", but I'm researching applied macroeconomics and need to get a handle on the following concepts ASAP:
probability ...

**3**

votes

**1**answer

376 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:
...

**3**

votes

**1**answer

135 views

### Does martingale convergence hold for arbitrary time?

Let $\{\mathcal B_i:i\in I\}$ be a family of $\sigma$-algebras (over the same set $\Omega$) which are totally ordered by inclusion, in the sense that for any $i,j\in I$ either $\mathcal ...

**3**

votes

**2**answers

757 views

### Is the truncated Brownian motion of the class DL?

Let $W$ be a standard Brownian motion under given probability space.
For a given constant $a$, $W^a$ is a truncated Brownian motion by stopping time
$T^a = \inf(t>0:W(t) = a)$. That is, $W^a(t) = ...

**3**

votes

**1**answer

115 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 ...

**3**

votes

**1**answer

586 views

### Lower-semicomputable supermartingales with bounded increments

I'm interested in whether Levin and Solomonoff's results on "universal semimeasures" can be extended to other settings. One case that especially interests me is finding "universal" strategies in the ...

**3**

votes

**1**answer

135 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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votes

**1**answer

141 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 ...

**3**

votes

**1**answer

313 views

### initial condition of a diffusion approximation

I am trying to prove that a certain sequence of Markov chains $x^N_k$ converges towards a diffusion process. The invariant measure of $x^N$ is $\pi^N$ and the Markov chain $x^N$ is started in ...

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votes

**2**answers

559 views

### Supermartingales and convergence

These feel like basic enough questions, but I don't know where to find the answer.
Let $X_1,X_2,X_3,\dots$ be a supermartingale such that $|X_{n+1} - X_n| < K$ for all $n$ ($K$ fixed). Does the ...

**2**

votes

**1**answer

495 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" ...

**2**

votes

**1**answer

138 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 ...

**2**

votes

**1**answer

119 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 ...

**2**

votes

**0**answers

88 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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82 views

### 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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88 views

### Pointwise convergence of ergodic averages of unconventional conditional expectations

Let $(X_i,Y_i)_{i\in\mathbb{Z}}$ be a finite-valued stationary process whose $\sigma$-algebra of tail events is trivial. Let $\mathcal{F}_n^m$ be the $\sigma$-algebra generated by $X_n,\dots,X_m$ ...

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**1**answer

113 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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74 views

### weaker version of the martingale convergence theorem

Let $\mathcal{A}_n$ be a sequence of finite sigma-algebras, let $\mathcal{B}_{q,p}= \sigma(\mathcal{A}_n, q \geq n \geq p )$. Moreover, we suppose $\mathcal{A}_k \subset \mathcal{B}_{\infty,p}$ for ...

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87 views

### a generalization of Monge-Kantorovich Problem

I am thinking about the martingale version of Monge-Kantorovich Problem.
Let $\mu(x)$ and $\nu(y)$ denote two density laws on $\mathbb{R}$, and define $M(\mu,\nu)$ the set of densities $f(x,y)$ on ...

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967 views

### Martingales and Betting Strategies

Does anyone know of a good introduction to the theory of martingales and betting strategies from the point of view of statistics and/or probability theory? I'm looking for something basic, with lots ...

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46 views

### 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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vote

**2**answers

268 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?

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**1**answer

253 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)| ...

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**1**answer

144 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 ...

**1**

vote

**1**answer

91 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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vote

**1**answer

45 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 ...

**1**

vote

**1**answer

350 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 ...