Martingale Process

**nima** · March 22nd 2011, 07:07 AM

Hi everybody!

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

$<br /> c_t^\gamma = \beta*rf*E_t(c_{t+1}^{\gamma})<br />$

**Moo** · March 23rd 2011, 01:11 AM

If $\beta=0$ then this is a martingale

Can't you be more precise ? It could be an interesting discussion but we weren't here

**nima** · March 23rd 2011, 01:33 AM

Originally Posted by Moo

If $\beta=0$ 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 $\gamma\ne 0$ because in this case the function is not integrable. My colleague doesn't agree.