Financial Engineering, Martingales, Quantitative Finance, Probability Theory, Measure.
each t > 0, then we can say that the process G(t) is I(t) adapted. i.e. the value of G(t) will be known given an information set I(t) Applying the idea to a continuous time process Let the process G(t) be a martingale. We know by the basic definition of martingale, it’s a process for which we