Wald's martingale
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In probability theory Wald's martingale, named after Abraham Wald and more commonly known as the geometric Brownian motion, is a stochastic process of the form
for any real value λ where Wt is a Wiener process.[1]: 32 [2]: 261 [3] The process is a martingale.[1]
See also[]
Notes[]
- ^ a b Hunt, P. J.; Kennedy, J. E. (2005). "Martingales". Financial Derivatives in Theory and Practice. Wiley Series in Probability and Statistics. p. 31. doi:10.1002/0470863617.ch3. ISBN 9780470863619.
- ^ Chang, F. R. (2004). "Boundaries and Absorbing Barriers". Stochastic Optimization in Continuous Time. pp. 225–287. doi:10.1017/CBO9780511616747.008. ISBN 9780511616747.
- ^ Asmussen, S. R.; Kella, O. (2000). "A multi-dimensional martingale for Markov additive processes and its applications". Adv. Appl. Probab. 32 (2): 376–393. CiteSeerX 10.1.1.49.9292. doi:10.1239/aap/1013540169. JSTOR 1428194.
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