F martingale

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F martingale [¦ef ′mart·ən‚gāl]

(mathematics)

A stochastic process {X_t,t> 0} such that the conditional expectation ofX_tgivenF_sequalsX_swhenevers<t, whereF= {F_t,t≥ 0} is an increasing family of sigma algebras that represents the amount of information increasing with time.

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