Martingale Process

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March 22nd 2011, 07:07 AM
nima

Martingale Process

Hi everybody!

I discuss to with a PhD student about this thing: when this is a Martingale Process in your opinion?

$<br /> c_t^\gamma = \beta*rf*E_t(c_{t+1}^{\gamma})<br />$
March 23rd 2011, 01:11 AM
Moo

If $\beta=0$ then this is a martingale (Headbang)
Can't you be more precise ? It could be an interesting discussion but we weren't here (Headbang)
March 23rd 2011, 01:33 AM
nima

Quote:

Originally Posted by Moo

If $\beta=0$ 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 $\gamma\ne 0$ because in this case the function is not integrable. My colleague doesn't agree.
March 23rd 2011, 01:35 AM
Moo

But what are all these parameters, what are the conditions, what is c_t ???
March 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 ???

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

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