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View Full Version : Finding right process to satisfy the martingale property

Ducklin
08-28-2002, 08:03 AM
In course three you are most likely asked to specify a process that satisfies the martingale property. Is there a technique in finding this process? How do I know that the process I pick will give me the correct answer to find the expected hitting time of the process?
MathGuy
08-28-2002, 12:17 PM
First off, exam 3 is multiple choice, so you will never be asked to specify a Martingale process. The worst you could hope for would a question about the properties of Martingales, or perhaps a question like "Which of these is a Martingale process..."

And besides, Martingales are in section 10.4 of Ross' Prob Models, which isn't on the syllabus (anymore?). Are they located elsewhere?
Ducklin
08-28-2002, 01:01 PM
That's good then if I don't have to find it myself.
Then for example, if I have to choose which of the function would be suitable, how do I choose? (satisfy martingale and the required hitting time equation is also unknown) I think a question would help to explain what I would like to ask. I don't have the question with me but I have seen one previously and was wondering why and how come. I come back to you with the question.
:roll:
Toonces
08-28-2002, 06:36 PM
Unles I'm missing something, this material is not on the Course 3 Exam anymore. I don't remember it from any of my readings.
Ducklin
08-29-2002, 08:13 AM
I am reading the UK actuary course. The subject should be equivalent to course 3 (I think!)
MathGuy
08-29-2002, 10:54 AM
But that's roughly equivalent to asking us about Quantum Mechanics. It isn't on the exam, so why would you expect anyone to know about it? I mean, I suppose I could read about Martingales just for fun and then give you a few pointers, but I doubt I would want to.
Ducklin
08-29-2002, 12:55 PM
I thought there are many clever people (more senior than myself!)on this site who would be able to answer mathematical questions such as these that are not required by a specific course but would be based on what have been taught.

I will restrict questions to US syllabus then! In fact, am thinking of switching to the US ones which should happen soon. :roll: