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Quantitative Finance · Glossary

What is Martingale?

Also known as: submartingale · supermartingale

Definition 1.6 Quantitative Methods · Chapter 1 — Probability at Speed

An adapted, integrable process (Mt)(M_t) is a martingale if Es[Mt]=Ms\E_s[M_t] = M_s for all s≤ts \le t; a submartingale if Es[Mt]≥Ms\E_s[M_t] \ge M_s; a supermartingale if Es[Mt]≤Ms\E_s[M_t] \le M_s.

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