2005/03/05 by Rajeeva L Karandikar, M G Nadkarni
Mathematics · #math.PR #msc:60G42 #msc:60G48
published as Proc. Indian Acad. Sci. (Math. Sci.), Vol. 115, No. 1, February 2005, pp. 111-116 · 6 pages
arxiv created 2005/03/05 · arxiv updated 2009/12/01
We give a necessary and sufficient condition on a sequence of functions on a set Ω under which there is a measure on Ω which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a natural maximum entropy condition on the conditional probabilities.