A process {y_t} is a martingale if _____ is equal to y_t for all t ≥ 0.

Question

Quizplus · Accepted Answer

A martingale is a stochastic process for which, at any time $t$, the conditional expectation of the next value in the process, given all prior values, is equal to the current value. Choice A correctly represents this definition by stating that the expected value of the process at time $t+1$, given all past and current values up to time $t$, is equal to the current value at time $t$.

​A Process {Yt} Is a Martingale If _____ Is Equal

A Process {Y_t} Is a Martingale If _____ Is Equal