Howtosignalprocessing
- Is a Markov process a martingale?
- What is the difference between a martingale and a Markov chain?
- Are all Martingales Markov chains?
- How do you check if a stochastic process is a martingale?
Is a Markov process a martingale?
Markov property
XN is a Markov process. Martingale is a special case of Markov wth f = x and g = x. However for the process to be Markov we require for every function f a corresponding function g such that (6) holds. So not all Martingales are Markov.
What is the difference between a martingale and a Markov chain?
Que : What is the difference between Markov Property and a Martingale? Markov means where go next depends at most on where we are now. Any process with independent increments has the Markov property, eg Brownian motion. Martingale means that we expect the future value to be the current value.
Are all Martingales Markov chains?
No, not all martingales are Markov processes.
How do you check if a stochastic process is a martingale?
Formally, a stochastic process as above is a martingale if E[Xt+1|ℱt] = Xt. Often we replace ℱt with the σ-algebra generated by X0... Xt and write this as E[Xt+1|X0... Xt] = Xt.
