Timeline for Martingales in both discrete and continuous setting
Current License: CC BY-SA 2.5
13 events
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| Mar 14, 2011 at 18:25 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 14, 2011 at 15:55 | vote | accept | Qiang Li | ||
| Feb 14, 2011 at 12:18 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 14, 2011 at 10:15 | comment | added | The Bridge | @Didier Piau : Sometimes I feel frustrated on MO 'cause I can't vote twice for a nice answer. | |
| Feb 13, 2011 at 11:21 | comment | added | Did | .../... Anyway, about Brownian martingales, Durrett is excellent, Tsirelson is kind enough to put tau.ac.il/~tsirel/Courses/Brown/syllabus.html on the web, and many other good introductory texts exist. Re 2.: Does it, indeed? Either you did not spend one minute thinking about the answer, or you have no clue of what you are talking about. | |
| Feb 13, 2011 at 11:19 | comment | added | Did | @Qiang Li: ("comments" in the sense of "questions".) Well, after an interesting initial question, you once again fall back on some standard textbook stuff. This is not MO purpose. Please get yourself some lecture notes (this time, on Brownian martingales), as was already suggested to you about other MO basic probability questions, and study them. Specific references were provided to you, did you go and read them? Considering the rythm of your questions on MO and elsewhere, this is doubtful. .../... | |
| Feb 13, 2011 at 2:02 | comment | added | Qiang Li | @Didier: this is great! I just have a few comments. 1. For functions not in $\mathbb{C}^1$ (continuous differentiable to the first order) in $t$ and $\mathbb{C}^2$ in $B_t$, are there any examples of martingale in the form of $Q(B_t, t)$? 2. Does the condition $P(s+1,n+1)+P(s-1,n+1)=2P(s,n) P(S_n, n)$ truly enumerate all martingales in the form of $P(S_n, n)$? | |
| Feb 12, 2011 at 15:32 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 12, 2011 at 15:26 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 12, 2011 at 0:05 | comment | added | The Bridge | Just to add, it is widely known that Hermite polynomials and Brownian Motions are deeply connected with regards to (local) martingale property (and the chaos decomposition property) . math.ucsd.edu/~pfitz/downloads/hermite.pdf | |
| Feb 11, 2011 at 17:25 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 11, 2011 at 12:56 | history | edited | Did | CC BY-SA 2.5 |
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| Feb 11, 2011 at 7:20 | history | answered | Did | CC BY-SA 2.5 |