Let X = {X t ; t = 0, 1, ,T} be a stochastic process adapted

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Let X = {X_t; t = 0, 1, ··· ,T} be a stochastic process adapted to the filtration F = {F_t; t = 0, 1, ··· , T}. Does the property: E[X_t₊₁ − X_t|F_t] = 0,t = 0, 1, ··· ,T − 1 imply that X is a martingale?

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:16 AM

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Let X = {X t ; t = 0, 1, ,T} be a stochastic process adapted

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No the property EXt1 Xt Ft 0 for t 0 1 T1 does not imply that X is a martingale To be a martingale a ...View the full answer

Mathematical Models Of Financial Derivative

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