Prove that the process (zeta) defined by (zeta_{t}=sum_{i, t_{i} leq t} Delta F_{t_{i}}) is an (mathbf{F})-martingale.

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Prove that the process $\zeta$ defined by $\zeta_{t}=\sum_{i, t_{i} \leq t} \Delta F_{t_{i}}$ is an $\mathbf{F}$-martingale.

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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Question Posted: Apr 03, 2024 01:01 AM

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Prove that the process (zeta) defined by (zeta_{t}=sum_{i, t_{i} leq t} Delta F_{t_{i}}) is an (mathbf{F})-martingale.

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Mathematical Methods For Financial Markets

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