Financial Engineering, Martingales, Quantitative Finance, Probability Theory, Measure.
guess estimate of the value of G(t) over a small step “(t+u)”? We will borrow the idea of expectation operator to relate to understand this: E[G(t+u)] = ? By definition of martingale, we can say that the best estimate of the above equation is what we have now at time “t” i.e. G(t). Therefore, we