Nadkarni, M. G. ; Rajeev, B. (2009) Measure free martingales and martingale measures Proceedings of the Indian Academy of Sciences - Mathematical Sciences, 119 (5). pp. 655-667. ISSN 0253-4142
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Official URL: http://www.ias.ac.in/mathsci/vol119/nov2009/PM0017...
Related URL: http://dx.doi.org/10.1007/s12044-009-0061-9
Abstract
Let T ⊂ R be a countable set, not necessarily discrete. Let ft, t ∈ T, be a family of real-valued functions defined on a set Ω. We discuss conditions which imply that there is a probability measure on Ω under which the family ft, t ∈ T, is a martingale.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Indian Academy of Sciences. |
| Keywords: | Martingale; Kolmogorov Consistency Theorem; Weak Convergence; Von Neumann Selection Theorem; Filtration |
| ID Code: | 23437 |
| Deposited On: | 25 Nov 2010 09:19 |
| Last Modified: | 17 May 2016 07:16 |
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