F martingale

F martingale

[¦ef ′mart·ən‚gāl]
(mathematics)
A stochastic process {Xt , t > 0} such that the conditional expectation of Xt given Fs equals Xs whenever s <>t, where F = {Ft , t ≥ 0} is an increasing family of sigma algebras that represents the amount of information increasing with time.