Timeline for Show that this process is not a martingale
Current License: CC BY-SA 4.0
12 events
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| Feb 10, 2020 at 14:57 | history | edited | Nate Eldredge | CC BY-SA 4.0 |
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| Feb 10, 2020 at 14:57 | comment | added | Nate Eldredge | @RScrlli: Sure, Tonelli if you like. I guess I think of them as two parts of the same result. | |
| Feb 10, 2020 at 12:46 | comment | added | Chaos | Hey Nate I have a doubt regarding the application of Fubini's theorem in the last step of your calculations. Don't we need to have finiteness of the integral in order to change the order of the iterated integrals? Shouldn't it be Tonelli's lemma? | |
| Feb 10, 2020 at 12:40 | vote | accept | Chaos | ||
| Feb 8, 2020 at 8:17 | comment | added | Chaos | +1 Thank you very much for the answer, this approach at least at first sight seems more clear to me, anyway as I told Iosif in the comments I'll need some time to go through all the calculations in order to see which one to accept! Thanks again! | |
| Feb 8, 2020 at 0:01 | history | edited | Nate Eldredge | CC BY-SA 4.0 |
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| Feb 7, 2020 at 23:56 | comment | added | Nate Eldredge | @MateuszKwaśnicki: Indeed, I overlooked that. I'll add a mention. | |
| Feb 7, 2020 at 23:07 | comment | added | Mateusz Kwaśnicki | @NateEldredge: For the record, this particular process seems to be precisely the one studied in the example right after Corollary 4 in the paper that you refer to. | |
| Feb 7, 2020 at 22:19 | history | edited | Nate Eldredge | CC BY-SA 4.0 |
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| Feb 7, 2020 at 21:34 | comment | added | Nate Eldredge | @IosifPinelis: I think it shows that it stops being a martingale at $t > 1/4$. | |
| Feb 7, 2020 at 20:32 | comment | added | Iosif Pinelis | Can this be used to show that $(X_t)$ stops being a martingale before $t=1$? | |
| Feb 7, 2020 at 20:28 | history | answered | Nate Eldredge | CC BY-SA 4.0 |