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Martingale generalizations and preservation of martingale properties
Author(s) -
James Tomkins R.
Publication year - 1984
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315174
Subject(s) - martingale (probability theory) , doob's martingale inequality , mathematics , local martingale , martingale pricing , martingale difference sequence , pure mathematics , mathematical economics , calculus (dental) , medicine , dentistry
This article investigates circumstances under which seven important martingale properties are preserved by the following six martingale generalizations: quasimartingales, amarts, martingales in the limit, games fairer with time, progressive martingales, and eventual martingales.