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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Assume that X, Y are martingales such that Y is differentially subordinate to X and X [member of] [L.
t]] [greater than or equal to] 1} and the stopped martingales [X.
valid for all real martingales f and their transforms g by predictable sequences bounded in absolute value by 1.
DELTA],C](t) be the wealth process of a portfolio [DELTA] and [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] is a locally integrable Martingale.
15) is locally integrable Martingale under a real world probability measure P, then
0] [LAMBDA](s)C(s)ds is also locally integrable Martingale under a real world probability measure P.
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.
Obviously there is an easy connection between the two martingales.
Continuous Exponential Martingales and BMO, Springer-Verlag, Lecture Notes in Mathematics No.
A Criterion for Uniform Integrability of Exponential Martingales, Tohoku Mathematical Journal, 34:495-498, 1982.
Muller, 1989, "On Complete Securities Markets and the Martingale Property of Securities Prices", Economics Letters, 31:37-41
Ross, 1989, "Information and Volatility--The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy", Journal of Finance, 44:1-17