Filtrations, adapted processes and martingales
Research context
postgraduate concept · established · As of 2026-10-10
A discrete martingale M-n is adapted to increasing sigma-algebras F-n, is integrable at every time, and obeys E[M-(n+1)|F-n]=M-n.
Key knowledge
A discrete martingale M-n is adapted to increasing sigma-algebras F-n, is integrable at every time, and obeys E[M-(n+1)|F-n]=M-n. For independent integrable centered increments, the partial sums form a martingale; for any integrable terminal X, E[X|F-n] is another. A filtration encodes information rather than a physical force or a prediction of each sample path.
Values and equations
E[M_(n+1)|F_n]=M_n
- M_n
- Integrable adapted process
- F_n
- Information sigma-algebra at time n
Conditions and scope
- Adaptedness and integrability are required in addition to the conditional-mean identity.
- The martingale depends on the chosen filtration; adding future information can destroy the property.
Sources · 1
References
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Evidence and review
Author checked this English statement, displayed equation where present and stated hypotheses against these source locations: Definitions 3.1, 3.3, 3.7; centered random walk and Doob examples. The check is bounded to the recorded claims; no complete proof reconstruction, software proof replay or universal literature completeness is claimed.
2026-10-10 · Author source-body/statement/equation/domain check, with graph associations scoped individually. Separate independent content/source/inventory review is required before branch closure.
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