ThmDex – An index of mathematical definitions, results, and conjectures.
Set of symbols
Alphabet
Deduction system
Theory
Zermelo-Fraenkel set theory
Set
Binary cartesian set product
Binary relation
Map
Simple map
Simple function
Measurable simple complex function
Simple integral
Unsigned basic integral
Unsigned basic expectation
Basic expectation
Random real number moment
Expectation
Conditional expectation representative
Conditional expectation
Definition D3416
Complex martingale
Formulation 2
Let $P = (\Omega, \mathcal{F}, \mathbb{P},\{ \mathcal{G}_j \}_{j \in J})$ be a D1726: Filtered probability space.
A D5696: Complex random process $Z : J \to \mathsf{Random}(\Omega \to \mathbb{C})$ is a martingale on $P$ if and only if
(1) $Z$ is a D2156: Adapted random collection on $P$
(2) \begin{equation} \forall \, j \in J : \mathbb{E} |Z_j| < \infty \end{equation}
(3) \begin{equation} \forall \, i, j \in J \left( i < j \quad \implies \quad \mathbb{E}(Z_j \mid \mathcal{G}_i) \overset{a.s.}{=} Z_i \right) \end{equation}
Children
Real martingale