Probability Puzzle Solutions
The problem of implicit Itô
Good and better martingales
- Brownian motion is a martingale, but not UI
- Revuz and Yor (II.3.15) give a construction of a discontinuous martingale
on [0,1] which is UI but not H1. Take their function f to be something
like f(t)=( (1-t) Log^2(2/(1-t)) )^(-1).
Driftless bridges
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