Measure free martingales
نویسندگان
چکیده
We give a necessary and sufficient condition on a sequence of functions on a set Ω under which there is a measure on Ω 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.
منابع مشابه
Measure-Free Martingales with Application to Classical Martingales
The aim of this work is to give a summary of some of the known properties of sets of measure-free martingales in vector lattices and Banach spaces. In particular, we consider the relationship between such sets of martingales and the ranges of the underlying filtration of conditional expectation operators.
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تاریخ انتشار 2004