Martingale criterion (discrete time)


Let X=(Xn,Fn) be a local martingalePlanetmathPlanetmath. If there is an n0N such that nn0,nN either:

EXn- <


EXn+ <

Then X is a martingaleMathworldPlanetmath.

Title Martingale criterion (discrete time)
Canonical name MartingaleCriteriondiscreteTime
Date of creation 2013-03-22 18:34:48
Last modified on 2013-03-22 18:34:48
Owner karstenb (16623)
Last modified by karstenb (16623)
Numerical id 5
Author karstenb (16623)
Entry type Theorem
Classification msc 60G07