martingale

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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 ?
Sharp estimates for Calderon-Zygmund operators and martingale inequalities.
Assume that X, Y are martingales such that Y is differentially subordinate to X and X [member of] [L.sup.2].
To see this, let us introduce the stopping time [tau] = inf{t [greater than or equal to] 0: [absolute value of [Y.sub.t]] [greater than or equal to] 1} and the stopped martingales [X.sup.[tau]] = [([X.sub.[tau][disjunction]t]).sub.t[greater than or equal to]0], [Y.sup.[tau]] = [([Y.sub.[tau][disjunction]t]).sub.t[greater than or equal to]0].
(1979), "Martingales and arbitrage in multiperiod security markets".
In the optimization process, we adopt Martingale approach.
* martingales: Considering the so-called profil-polynomial, whose coefficients is the profile sequence, leads to a certain family of martingales.
Based on this polynomial we will find a family of martingales and obtain convergence results for these by well-known properties in the branching random walk.
By Theorem 3.2, W(t) and W[(t).sup.2] - t are martingales with respect to Q and [F.sub.t].
Continuous Exponential Martingales and BMO, Springer-Verlag, Lecture Notes in Mathematics No.
Longstaff, 1995, "Option Pricing and the Martingale Restriction", Review of Financial Studies, 8:1091-1124
As it's well known, equivalent martingale measure is not unique in the incomplete market [14].
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.