# Martingale Process

• Mar 22nd 2011, 07:07 AM
nima
Martingale Process
Hi everybody!

$\displaystyle c_t^\gamma = \beta*rf*E_t(c_{t+1}^{\gamma})$
• Mar 23rd 2011, 01:11 AM
Moo
If $\displaystyle \beta=0$ then this is a martingale (Headbang)
Can't you be more precise ? It could be an interesting discussion but we weren't here (Headbang)
• Mar 23rd 2011, 01:33 AM
nima
Quote:

Originally Posted by Moo
If $\displaystyle \beta=0$ then this is a martingale (Headbang)
Can't you be more precise ? It could be an interesting discussion but we weren't here (Headbang)

The condition for this process to be a mg...

I thought $\displaystyle \gamma\ne 0$ because in this case the function is not integrable. My colleague doesn't agree.
• Mar 23rd 2011, 01:35 AM
Moo
But what are all these parameters, what are the conditions, what is c_t ???
• Mar 23rd 2011, 02:13 AM
nima
Quote:

Originally Posted by Moo
But what are all these parameters, what are the conditions, what is c_t ???

$\displaystyle c_t$ is a stochastic process
$\displaystyle \beta$ is a discount factor $\displaystyle \in (0,1]$
$\displaystyle r_f$ is the risk free that is given (deterministic)