All Questions
Tagged with stochastic-calculus martingales
82 questions
2
votes
0
answers
448
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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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2
votes
0
answers
340
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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 $x\in D$....
- 1,835
2
votes
0
answers
144
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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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2
votes
0
answers
134
views
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 ...
- 23
2
votes
1
answer
2k
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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 $\mathbb{R}$. Let $H=(H_t)_{t\ge 0}$ be some bounded progressively measurable process, i.e....
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1
vote
1
answer
369
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Does a continuous martingale converge almost surely on the event that its quadratic variation is finite?
Let $M$ be a continuous martingale. Denote by $E$ the event that its total quadratic variation is finite, i.e.
$$E := \{\langle M, M \rangle_\infty < \infty\}.$$
Question: Is it true that as $t \to ...
- 6,155
1
vote
1
answer
182
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Is a stopped Ito-integral integrable if the Ito integrand is only square-integrable on an open interval?
Assume a filtered probability space $(\Omega,\{\mathcal F_t\}_{t\in[0;T)}, \mathbb P)$ with an $\mathbb R^n$-valued Brownian motion $\{W_t\}_{t\in[0;T)}$ and the filtration $\{\mathcal F_t\}_{t\in[0;T)...
- 335
1
vote
2
answers
316
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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?
- 111
1
vote
2
answers
2k
views
Expectation of Brownian motion increment and exponent of it
While reading a proof of a theorem I stumbled upon the following derivation which I failed to replicate myself. Let $\mu$ be a constant and $B(t)$ be a standard Brownian motion with $t > s$. Show ...
- 11
1
vote
1
answer
411
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a dominated convergence theorem for martingale (II)
The question is presented in
https://mathoverflow.net/questions/155392/a-dominated-convergence-theorem-for-martingale
Let $\{(X_1^n, X_2^n)\}_n$ be a sequence of martingales defined some probability ...
- 1,835
1
vote
1
answer
139
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Characterization of Brownian motion: processes with right-continuous paths
I am looking for a reference with a proof for the following fact:
If a right-continuous martingale $(X_r)_{ r \geq 0}$ is such that $X_0=0,(X^2_r-r)_r,(X_r^3-3rX_r)_r,(X_r^4-6rX_r^2+3r^2)_r$ are ...
- 573
1
vote
1
answer
284
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Martingale derivation by direct calculation
I'm reading the proof of a theorem and stumbled across the following derivation which I cannot replicate myself.
Let $W(t)$ be a $Q$-martingale and be given by $W(t) = B(t) + \mu t$ with $B(t)$ a ...
- 11
1
vote
0
answers
240
views
Where to submit a new proof of the continuous martingale convergence theorem?
There were various proofs of the discrete martingale convergence theorem, but as far as I know there is only one proof of the continuous version of this theorem using the up-crossing lemma.
I wrote a ...
- 11
1
vote
0
answers
108
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Decomposition of reversed processes
Consider a reversed filtration $(\mathcal{F}_k)_{k \geq 0} $ $(\mathcal{F}_{k+1} \subset\mathcal{F}_k),$ $(X_k)_{k \geq0}$ is a processes in $L^1,\mathcal{F}_k$-adapted.
Is it possible to decompose $...
- 249
1
vote
0
answers
80
views
Almost supermartingale and a.s convergence
After reading a paper on the convergence of almost supermartingale, the following result appeared:
If $(X_k)_k,(Y_k)_k,(W_k)_k$ are three $(\mathcal{F}_k)$-adapted processes taking values in $\mathbb{...
- 249
1
vote
0
answers
744
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Local martingale but not martingale
For a 3-dimensional Brownian motion $B = (B_t, t ≥ 0)$ and $x ∈ \mathbb{R}^3 \backslash \{0\}$ define the process
$Y = (Y_t, t ≥ 0)$ via $Y_t =\frac{1}{|B_t+x|}$ how come this is a continuous local ...
1
vote
0
answers
265
views
Wiener isometry for semimartingales
Suppose that $Y_t$ is a special square-integrable $\mathbb{R}$-valued semi-martingale and let $\mathcal{L}^2(Y)$ denote the set of $Y$-predictable processes satisfying
$$
\mathbb{E}\left[
\int_0^{\...
- 5,405
1
vote
0
answers
63
views
Martingale covariation operator in infinite-dimensions
Let
$(\Omega,\mathcal A,(\mathcal F_t)_{t\in[0,\:T]},\operatorname P)$ be a filtered probability space
$U,H$ be separable $\mathbb R$-Hilbert spaces
$(e_n)_{n\in\mathbb N}$ and $(f_n)_{n\in\mathbb N}$...
- 167
1
vote
0
answers
312
views
Does the martingale property holds after changing filtration?
Let $\Omega$ be the space of continuous real-valued functions $\omega=(\omega_t)_{t\ge 0}$ starting at zero, i.e. $\omega_0=0$. Let $\Lambda=\Omega\times \mathbb R_+$ and denote by $\lambda=(\omega,\...
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1
vote
0
answers
73
views
question related to Tanaka Formulae
Supposse $X=(X_t)$ is a cadlag martingale taking values in $\mathbb{R}$. If $f:\mathbb{R}\to\mathbb{R}$ is a convex function, then we have Tanaka Formulae. Now let $g: \mathbb{R}_+\times\mathbb{R}\to\...
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1
vote
0
answers
101
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a question about the modification of a supermartingale
Let $\mathbf{D}\subset\mathbf{D}([0,1],\mathbb{R}_+)$ denote the space of positive cadlag functions $\mathbf{x}$ defined on $[0,1]$ with $\mathbf{x}(0)=1$. Define the canonical process
$$X_{t}(\...
- 1,835
1
vote
0
answers
218
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question about Doob-Meyer decomposition
Given a filtered probability space and let $X$ be a cadlag local martingale defined on this space. Let $V$ be a cadlag supermartingale and assume we know the following decomposition:
$$V_t=V_0+\int_0^...
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1
vote
0
answers
1k
views
What conditions on a filtration guarantee that a (sub)martingale has a continuous modification?
There is a theorem as follows:
Theorem. Let $\mathcal{F}_t$ be a filtration which is right-continuous and complete. Assume $M_t$ is a submartingale adapted to $\mathcal{F}_t$ such that $t \mapsto \...
- 6,287
0
votes
1
answer
1k
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Ito integral and true martingale
Consider a twice diferentiable function $F$ on $R$ with bounded
first derivative $F'$ and a Brownian motion $W$. Show that $F(W_t)-\frac{1}{2} \int_{0}^{t} F'' (W_s)ds$ is a true martingale.
I tried ...
- 135
0
votes
3
answers
639
views
Non-smooth Ito lemma for semi-martingales
Is there an extension of Ito's Lemma where $X_t$ is a semi-martingale and $f:\mathbb{R}^d \rightarrow \mathbb{R}$ is a function which is not smooth?
I've been looking but have not found much, any ...
- 5,405
0
votes
1
answer
344
views
construction of a approximate martingale
everyone.
Given a probabilistic space $(\Omega, \mathcal{F}_t, \mathbb{P})$ and a martingale $(M_t)_{t\leq 1}$ on it. Suppose
$$M_1\stackrel{\mathbb{P}}{\sim}\mu$$
where $\mu$ is a probability ...
- 1,835
0
votes
0
answers
90
views
Martingale defined by an integral
Consider a probability space $(\Omega,\mathcal{F},P).$ Let $f \in C^{\infty}_{c}(\mathbb{R}^d,\mathbb{R}),p \geq 2.$ $(X_r^{y})_{(r,y) \in \mathbb{R}_+ \times \mathbb{R}^d}$ is a stochastic process ...
- 573
0
votes
0
answers
121
views
Martingale representation of a stopped Brownian motion
This question follows from the previous post Question on the martingale representation theorem which has not been answered. I consider thus a particular case. Let $(B_t)_{t\ge 0}$ be a standard ...
- 1,334
0
votes
0
answers
71
views
Conditions for existence of a semi-martingale representing a system of probability measures
Let $(\nu_t)_{t \in [0,1]}$ be Borel probability measures on a stochastic basis $(\Omega,\mathcal{F},(\mathcal{F}_{t \in [0,1]})_t,\mathbb{P})$.
Does there exist a semi-martingale $(X_t)_{t\in[0,1]}$ ...
- 5,405
0
votes
0
answers
163
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Using the optional stopping theorem on a stochastic process
(I'm much more used to number theory than to stochastic processes, so there are probably a lot of errors in the following:)
Consider a stochastic differential equation $dx = F(t,x) dt + \sigma dW$, ...
- 101
-2
votes
1
answer
138
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Problem arising from martingale solutions to SPDE: $Law(u)=Law(v)$ on $C([0,T]; X)$, can $Law(u)=Law(v)$ on $C([0,t]; X)$ for $t<T$?
I ask this question because I found in some papers of martingale solutions to SPDE, to prove the approximate solutions $u_n$ is a convergent sequence, one can use "stochastic compact" method to find ...
-3
votes
1
answer
141
views
Approximate martingales by truncation
Let $(X,Y)$ be a $\mathbb R-$valued martingale. For any $\varepsilon>0$, is it possible to find another martingale $(X',Y')$ s.t. $X'$ and $Y'$ are supported on a compact set, and
$$
\mathbb E\big[\...
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