Skip to main content

Questions tagged [martingales]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
5 votes
2 answers

Decomposition of an additive functional into a Martingale part and other

This question relates to a theorem about the decomposition of additive functionals---a technique especially useful in macroeconomics and finance. This question has two objective. First, I don't have a ...
jmbejara's user avatar
  • 9,355
5 votes
1 answer

How do I construct the score process of a Markov model and verify that it is a Martingale?

The following is a specific question that is useful for demonstrating a general idea. Consider the following autoregressive model: $$ X_{t+1} = \alpha_0 + \beta_0 (X_t - \alpha_0) + W_{t+1}, $$ where ...
jmbejara's user avatar
  • 9,355