Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Can someone please help me to clarify a definition. I am reading about stochastic process from a book and I come across the statement: "martingales null at zero". What does this mean?

Please be a little elaborate with your answer.

share|improve this question
    
Martingale $(M_t)$ such that $P(M_0=0)=1$. –  Did Jul 15 '11 at 19:17

1 Answer 1

up vote 0 down vote accepted

Nothing very interesting. In general, to say that a stochastic process $x(t)$ is "null at zero" means that, though at $t>0$ the values of $x(t)$ are random, at $t=0$ (the "start time") you know/specify that its value is fixed at zero: $x(0)=0$ (or, more formally, that $Prob(x(0)=0) = 1$. The typical example is the (most basic) random walk process.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.