All Questions
18 questions
13
votes
1
answer
713
views
Identity involving the probability that a random walk stays below a curve
I'm looking for a direct proof of the following identity:
Let $W_n$ be a simple random walk with $W_0=0$. For all $x>0$ we have
$$
\lim _{N\to \infty} \sqrt{N} \cdot \mathbb P \Big( \forall n \le ...
- 723
12
votes
2
answers
2k
views
Can we do better than Azuma-Hoeffding when the variance is small?
The Azuma-Hoeffding Inequality says that if $X_1,X_2, \ldots$ is a martingale and the differences are bounded by constants, $\|X_i - X_{i-1}\| \le 1$ say, then we should not expect the difference $\|...
- 1,955
10
votes
2
answers
828
views
On martingale convergence
Let $(X_t)_{t\ge0}$ be a martingale with continuous paths. It was previously shown here and here that then it is impossible that $X_t\to\infty$ almost surely as $t\to\infty$.
Is it possible that there ...
- 128k
9
votes
2
answers
1k
views
Adaptive version of the Azuma–Hoeffding inequality
The Azuma inequality states that if we have a martingale $X_1,\ldots,X_N$ that satisfies a bounded difference condition:
$$|X_k - X_{k-1}| \leq c_k$$
Then:
$$\Pr\left[X_N - X_0 \geq \sqrt{2\sum_kc_k^2 ...
- 794
7
votes
1
answer
394
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 ...
- 6,287
5
votes
0
answers
653
views
Explicit martingale representation for a Brownian bridge
Let $W$ denote a Wiener process, $\displaystyle M_t = \max_{0 \le s \le t} W_s$ its running maximum. The martingale representation of $M$ is known explicitly:
$$M_T = \sqrt{\frac{2T} \pi} + \int_0^T ...
- 341
4
votes
5
answers
2k
views
Martingales and Betting Strategies
Does anyone know of a good introduction to the theory of martingales and betting strategies from the point of view of statistics and/or probability theory? I'm looking for something basic, with lots ...
4
votes
1
answer
262
views
Bounded density for diffusions with diffusion coefficients bounded away from $0$
Consider a diffusion given by
$$X_t=\int_0^t a(s,X_s)\,dW_s$$
for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...
- 128k
4
votes
0
answers
80
views
Does this filtration have a name?
In the context of Ethier&Kurtz Markov Processes: Characterization and Convergence (Chapter 4, equation (3.2)) as well as the two papers Martingale problems for conditional distributions of Markov ...
- 183
4
votes
0
answers
1k
views
Change of Time in Stochastic Integral
Hi everyone,
Let's be given $I(0,t)$ a Stochastic Integral with respect to a local martingale $ M_t$ of the form :
$I(0,t)=\int_0^t h(s_-)dM_s$ with $h\in L(M)$ (for example $h$ is an adapted ...
- 1,334
3
votes
2
answers
517
views
CLT for Martingales
I posted this question originally in math stack exchange, but I got no answer.
(https://math.stackexchange.com/questions/2604591/clt-for-martingales)
In wikipedia, there is a version of a CLT for ...
- 339
2
votes
1
answer
144
views
English translation of "Une inégalité pour martingales à indices multiples et ses applications"
Does anyone know of a English translation of "Une inégalité pour martingales à indices multiples
et ses applications" by Renzo Cairoli. Or could translate the statement of the martingale ...
- 243
2
votes
0
answers
237
views
Semimartingale decomposition and filtrations
In short: I am trying to understand how the decomposition of a semimartingale into its local martingale and finite variation components depends on the filtration we are using.
So, taking a toy example,...
- 341
2
votes
0
answers
227
views
Non-negative martingale transforms and Radon Nikodym derivatives
Consider a filtered probability space $(\Omega, (\mathcal F_n), \mathcal F, \mathbb P)$, where $\Omega$ is the set of sequences with value in some $E \subseteq \mathbb R^d$, and $\mathcal F$ is the ...
- 341
1
vote
0
answers
526
views
Martingales associated with heat equation
I am trying to learn the connection between Brownian motion and heat equation (in the spirit of Feynman-Kac, for example, here). I read (Michael E. Taylor's PDE book, Volume II, Chapter 11, ...
- 1,407
1
vote
1
answer
229
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 ...
- 3,958
1
vote
0
answers
1k
views
What conditions on a filtration guarantee that a (sub)martingale has a continuous modification?
There is a theorem as follows:
Theorem. Let $\mathcal{F}_t$ be a filtration which is right-continuous and complete. Assume $M_t$ is a submartingale adapted to $\mathcal{F}_t$ such that $t \mapsto \...
- 6,287
0
votes
0
answers
31
views
Looking for a citation for this simple generalization of the Markov bound to non-negative super-martingales
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \...
- 183