martingale


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Related to martingale: Martingale system

martingale

1. a strap from the reins to the girth of a horse preventing it from carrying its head too high
2. any gambling system in which the stakes are raised, usually doubled, after each loss
3. Nautical
a. a chain or cable running from a jib boom to the dolphin striker, serving to counteract strain
b. another term for dolphin striker

martingale

[′märt·ən‚gāl]
(statistics)
A sequence of random variables x1, x2, …, where the conditional expected value of xn + 1given x1, x2, …, xn , equals xn .
References in periodicals archive ?
Furthermore, the fits of the martingale are only closer to the market values than those of model A.
Lunch-Hour Embroidery from Martingale is filled with sweet embroidery designs, accessible for use in a wide variety of projects.
As it's well known, equivalent martingale measure is not unique in the incomplete market [14].
Keywords: Prime depth at level k, Laplace distribution, martingale process, filtration
We make use of the interplay between objects central to Harmonic analysis, such as the Hilbert transform, and objects central to probability theory, martingales. This connection has seen many faces, such as in the UMD space classification by Bourgain and Burkholder or in the formula of Gundy-Varapoulos, that uses orthogonal martingales to model the behavior of the Hilbert transform.
The horse is decorated with a beaded headstall including a cone of hawk feathers, beaded and fringed reigns and martingale that match the beaded flat bag hanging on the horn of the native style saddle.
Our paper aims to further develop previous numerical method to deal with multifactor jump diffusion models via the employment of the risk-minimization criterion to obtain the Radon-Nikodym derivative for the minimal martingale measure.
The Haar system is a martingale difference sequence with respect to its natural filtration (on the probability space being the Lebesgue's unit interval) and hence so is [([a.sub.k][h.sub.k]).sub.k[greater than or equal to]0], for given fixed real numbers [a.sub.0], [a.sub.1], [a.sub.2],....
is assumed to be martingales, and the risk-neutral equivalent martingale measures, denoted respectively by
The martingale is the most obvious of the increasing stakes 'systems'.
is assumed to be a martingale, and the risk-neutral equivalent martingale measure, denoted by
Developers involved in the Martingale Wharf project on Bow Street in Portsmouth plan for the waterfront development to be up and running sometime in the summer of 2010.