Measure free martingales

Rajeeva L Karandikar; M G Nadkarni

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Measure free martingales

Rajeeva L Karandikar·M G Nadkarni

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Abstract

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.

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BibTeX RIS

Rajeeva L Karandikar, M G Nadkarni. 2005-03-05. Measure free martingales. https://arxiv.org/abs/math/0503099

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