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attm (zhenqi) 于 (Tue Nov 3 22:31:31 2009, 美东) 提到:
Let S(t) be a discrete stochastic process with non-negative value, t=0,1,...,N, and S(0)=50. Suppose S(N) with probability 1 will be 0 or 100.
Suppose also with probability 0.6, S(t) will first go down below 40 and
subsequently rise up above 60 at some time before N.
Now show that S(t) cannot be a martingale.
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attm (zhenqi) 于 (Wed Nov 4 10:35:33 2009, 美东) 提 |
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