Measure Free Martingales

Proceedings Mathematical Sciences

Rajeeva L Karandikar²  M G Nadkarni¹ 

[1] Department of Mathematics, University of Mumbai, Kalina, Mumbai 00 0, India$$;Indian Statistical Institute, New Delhi 0 0, India$$

关键词: Martingale;    Boltzmann distribution;    asset pricing.;   

DOI  :  

学科分类：数学（综合）

来源: Indian Academy of Sciences

【 摘 要 】

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.

【 授权许可】

Unknown