Martingale theory

Sigma-martingale

In mathematics and information theory of probability, a sigma-martingale is a semimartingale with an integral representation. Sigma-martingales were introduced by C.S. Chou and M. Emery in 1977 and 1978. In financial mathematics, sigma-martingales appear in the fundamental theorem of asset pricing as an equivalent condition to no free lunch with vanishing risk (a no-arbitrage condition). (Wikipedia).

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Abonniert den Kanal oder unterstützt ihn auf Steady: https://steadyhq.com/en/brightsideofmaths Ihr werdet direkt informiert, wenn ich einen Livestream anbiete. Hier erzähle ich etwas über die Maßtheorie. Wir zeigen in diesem Video die Definition einer Borel'schen Sigma-Algebra. #Maßtheo

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Related pages

Semimartingale | Mathematics | Probability theory | Martingale (probability theory) | Predictable process | Stochastic process | No free lunch with vanishing risk | Information theory | Fundamental theorem of asset pricing