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 Martingales (Is there such theorem?)
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tarragon
Advanced Member

Philippines
356 Posts

Posted - 09/18/2007 :  14:07:54  Show Profile
Hello people:

I would like to ask if there is such theorem (or any theorem that has similar concept) that states if random variables X and Y are martingales, then XY (the product of 2 random variables) is also a martingale.
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tkhunny
Advanced Member

USA
1001 Posts

Posted - 09/18/2007 :  17:11:34  Show Profile
That's one I almost should know. Have you been to www.soa.org? Actuaries love martingales, even submartingales and supermartingales. A quick perusal of the soa.org library (searcning only on "martingales") produced quite a few articles with various results. You may find something of value.
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