Wald's martingale

In probability theory Wald's martingale, named after Abraham Wald and more commonly
known as the geometric Brownian motion, is a stochastic process of the form

:: $\left\$

for any real number, real value ''λ'' where ''W''_''t'' is a Wiener process. The process is a martingale (probability theory), martingale.

See also

*Wald's equation

Notes

Martingale theory

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