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.
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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Posted - 09/18/2007 : 14:07:54
