How to set the title of DialogFragment?

Does overriding onCreateDialog and setting the title directly on the Dialog work? Like this:

@Override
public Dialog onCreateDialog(Bundle savedInstanceState) {
    Dialog dialog = super.onCreateDialog(savedInstanceState);
    dialog.setTitle("My Title");
    return dialog;
}

You can use getDialog().setTitle("My Dialog Title")

Just like this:

public static class MyDialogFragment extends DialogFragment {
    ...
    @Override
    public View onCreateView(LayoutInflater inflater, ViewGroup container, Bundle savedInstanceState) {
        // Set title for this dialog
        getDialog().setTitle("My Dialog Title");

        View v = inflater.inflate(R.layout.mydialog, container, false);
        // ...
        return v;
    }
    // ...
}

DialogFragment could be represented as dialog and as Activity. Use code below that would work properly for both

@Override
public View onCreateView(LayoutInflater inflater, ViewGroup container, Bundle savedInstanceState) {
    if (getShowsDialog()) {
        getDialog().setTitle(marketName);
    } else {
        getActivity().setTitle(marketName);
    }
}

Jason's answer used to work for me, but now it needs the following additions to get the title to show.

Firstly, in your MyDialogFragment's onCreate() method, add:

setStyle(DialogFragment.STYLE_NORMAL, R.style.MyDialogFragmentStyle);

Then, in your styles.xml file, add:

<style name="MyDialogFragmentStyle" parent="Theme.AppCompat.Light.Dialog.Alert">
    <item name="windowActionBar">false</item>
    <item name="windowNoTitle">false</item>
    <item name="android:windowActionBar">false</item>
    <item name="android:windowNoTitle">false</item>
</style>

After hours of trying different things, this is the only one that has done the trick for me.

NB - You may need to change the Theme.AppCompat.Light.Dialog.Alert to something else in order to match the style of your theme.