Measure free martingales
Probability
2007-05-23 v1
Abstract
We give a necessary and sufficient condition on a sequence of functions on a set under which there is a measure on 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.
Keywords
Cite
@article{arxiv.math/0503099,
title = {Measure free martingales},
author = {Rajeeva L Karandikar and M G Nadkarni},
journal= {arXiv preprint arXiv:math/0503099},
year = {2007}
}
Comments
6 pages