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    • Keywords


      Martingale; Boltzmann distribution; asset pricing

    • Abstract


      We give a necessary and sufficient condition on a sequence of functions on a set Ω under which there is a measure on Ω which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a natural maximum entropy condition on the conditional probabilities.

    • Author Affiliations


      Rajeeva L Karandikar1 M G Nadkarni1 2

      1. Indian Statistical Institute, New Delhi - 110 016, India
      2. Department of Mathematics, University of Mumbai, Kalina, Mumbai - 400 098, India
    • Dates

  • Proceedings – Mathematical Sciences | News

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      Posted on July 25, 2019

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