Pergunta de entrevista da empresa Morgan Stanley
what is the relation between wiener process and martingale
Resposta da entrevista
Sigiloso
20 de jun. de 2011
weiner process is a martingale. Conversely, by the Levy criterion, if X_t is a martingale and (dX_t)^2 =dt, then X_t is a weiner process.