martingale

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martingale

a leather strap running from the girth to the reins or the noseband for the purpose of restricting the movements of the horse's head. There are many designs. The common ones are the standing martingale, which is attached to the noseband, and the running martingale, which is divided in two, each of which has a ring through which one of the reins passes.
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0] [LAMBDA](s)C(s)ds is also locally integrable Martingale under a real world probability measure P.
2001), "Dynamic portfolio optimization and asset pricing: Martingale methods and probability distortion functions".
2007), "Stochastic optimization in finance and life insurance: Applications of the martingale method".
Obviously there is an easy connection between the two martingales.
We turn to the fundamental question in which domain of the complex plane the martingales converge a.
The following Theorem treats convergence of the martingales in the remaining case.
Uniform convergence of martingales in the branching random walk.
Addititive martingales and probability tilting for homogeneous fragmentations, http://www.
A Criterion for Uniform Integrability of Exponential Martingales, Tohoku Mathematical Journal, 34:495-498, 1982.
It is well-known that the proof of the Girsanov Theorem involves the local martingale theory.
Keywords: Girsanov theorem, martingale, local martingale, exponential processes, Schwarz's inequality.
2][0, T]) is a martingale, then the process given by