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Thread: Martingale Process

  1. #1
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    Martingale Process

    Hi everybody!

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

    $\displaystyle
    c_t^\gamma = \beta*rf*E_t(c_{t+1}^{\gamma})
    $
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  2. #2
    Moo
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    If $\displaystyle \beta=0$ then this is a martingale
    Can't you be more precise ? It could be an interesting discussion but we weren't here
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  3. #3
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    Quote Originally Posted by Moo View Post
    If $\displaystyle \beta=0$ then this is a martingale
    Can't you be more precise ? It could be an interesting discussion but we weren't here
    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.
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  4. #4
    Moo
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    But what are all these parameters, what are the conditions, what is c_t ???
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  5. #5
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    Quote Originally Posted by Moo View Post
    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)
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