Measure free martingales

DOI10.1007/BF02829844MaRDI QIDQ1770026zbMATH OpenOpenAlexFDO

Authors Rajeeva L. Karandikar, M. G. Nadkarni

Publication date 5 April 2005

Published in Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503099

zbMATH Keywords

asset pricingBoltzmann distributionmartingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Abstract: 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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Cites work

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• Linear Statistical Inference and its Applications

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(4)

• Free martingale polynomials.
• Measure free martingales and martingale measures
• scientific article; zbMATH DE number 5117138 (Why is no real title available?)
• On the representation of measurable functions by martingales

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