期刊论文详细信息
Proceedings Mathematical Sciences | |
Measure Free Martingales | |
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 𛺠under which there is a measure on 𛺠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
【 预 览 】
Files | Size | Format | View |
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RO201912040506679ZK.pdf | 77KB | download |