Karandikar, Rajeeva L. ; Nadkarni, M. G. (2005) Measure free martingales Proceedings of the Indian Academy of Sciences - Mathematical Sciences, 115 (1). pp. 111-116. ISSN 0253-4142
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Official URL: http://www.ias.ac.in/mathsci/vol115/feb2005/Pm2453...
Related URL: http://dx.doi.org/10.1007/BF02829844
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.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Indian Academy of Sciences. |
| Keywords: | Martingale; Boltzmann Distribution; Asset Pricing |
| ID Code: | 23423 |
| Deposited On: | 25 Nov 2010 09:11 |
| Last Modified: | 17 May 2016 07:15 |
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