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February, 1976 An Example of a Weak Martingale
Jeremy Berman
Ann. Probab. 4(1): 107-108 (February, 1976). DOI: 10.1214/aop/1176996187

Abstract

A sequence of integrable random variables $\{X_n, n \geqq 0\}$ is a weak martingale if $E(X_n \mid X_m) = X_m$ a.s. for all $0 \leqq m < n$. We present an example of a weak martingale which is not a martingale. It is bounded and has countably many paths.

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Jeremy Berman. "An Example of a Weak Martingale." Ann. Probab. 4 (1) 107 - 108, February, 1976. https://doi.org/10.1214/aop/1176996187

Information

Published: February, 1976
First available in Project Euclid: 19 April 2007

zbMATH: 0344.60032
MathSciNet: MR391248
Digital Object Identifier: 10.1214/aop/1176996187

Subjects:
Primary: 60G45
Secondary: 60G45

Rights: Copyright © 1976 Institute of Mathematical Statistics

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Vol.4 • No. 1 • February, 1976
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