Measure free martingales

Details Measure free martingales Measure free martingales

2005-03-05

arxiv.org/abs/math/0503099v1

Proc. Indian Acad. Sci. (Math. Sci.), Vol. 115, No. 1, February 2005, pp. 111-116

Mathematics

Probability

6 pages

Scientific paper

We give a necessary and sufficient condition on a sequence of functions on a
set $\Omega$ under which there is a measure on $\Omega$ which renders the given
sequence of functions a martingale. Further such a measure is unique if we
impose a natural maximum entropy condition on the conditional probabilities.

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