An Example of a Weak Martingale
Berman, Jeremy
Ann. Probab., Tome 4 (1976) no. 6, p. 107-108 / Harvested from Project Euclid
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A sequence of integrable random variables $\{X_n, n \geqq 0\}$ is a weak martingale if $E(X_n \mid X_m) = X_m$ a.s. for all $0 \leqq m < n$. We present an example of a weak martingale which is not a martingale. It is bounded and has countably many paths.
Publié le : 1976-02-14
Classification:  Weak martingale,  martingale,  example,  60G45,  60G45 
@article{1176996187,
     author = {Berman, Jeremy},
     title = {An Example of a Weak Martingale},
     journal = {Ann. Probab.},
     volume = {4},
     number = {6},
     year = {1976},
     pages = { 107-108},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996187}
}

Berman, Jeremy. An Example of a Weak Martingale. Ann. Probab., Tome 4 (1976) no. 6, pp.  107-108. http://gdmltest.u-ga.fr/item/1176996187/