Financial Engineering, Martingales, Quantitative Finance, Probability Theory, Measure.
say that E[G(t+u)] = G(t) Some may wonder, how exactly does the filtration set I(t) come into play in the above relation? The idea is that a process (in our case G(t)) is a martingale for a specific filtration set and a specific probability measure. We have not spoken about what is the meaning of a