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Questions designed to get an overview of a specific subject or body of results or to understand the relations among similar definitions, techniques or concepts appearing in different sub-fields of mathematics. While such questions by their very nature sometimes cannot be made very narrow and focused, it can be helpful to keep in mind that the design of MathOverflow does not make it a good fit for questions that are too broad.

2 votes

Brownian motion, martingales, Markov Chains - Rosetta Stone

Levy's characterisation of Brownian motion: If $X$ is a continuous martingale and $X$ has quadratic variation process $[ X ]_t = t$ then $X$ is a standard Brownian motion.
0 votes

Brownian motion, martingales, Markov Chains - Rosetta Stone

If X is a continuous martingale of finite variation such that $X_0 = 0$, then $P(X_t = 0 \ \ \forall t) = 1$.