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(Q7961358)
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Wald's martingale
martingale representing geometric Brownian motion
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Statements
instance of
martingale
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defining formula
{
exp
(
λ
W
t
−
1
2
λ
2
t
)
,
t
≥
0
}
{\displaystyle \left\{\exp \left(\lambda W_{t}-{\frac {1}{2}}\lambda ^{2}t\right),t\geq 0\right\}}
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in defining formula
W
t
{\displaystyle W_{t}}
symbol represents
Wiener process
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maintained by WikiProject
WikiProject Mathematics
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Identifiers
Freebase ID
/m/0py0j0_
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Wald's martingale
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