x********o
发帖数: 519 | 1 just finished a phone interview 10 minutes ago.
and could not figure out the answer for the following question:
find a process that is martingale but not markovian.
anyone know the answer? | w*********i
发帖数: 77 | 2 X_{t} = \int_{0}^{t}Y_{s}dW_{s}
W_{t} is the B.M. And Y_{t} is adapted.
X_{t} is a martingale due to the martingale representation theorem.
But X_{t} is not Markovian if Y_{t} is chosen to be non-Markovian.
【在 x********o 的大作中提到】
: just finished a phone interview 10 minutes ago.
: and could not figure out the answer for the following question:
: find a process that is martingale but not markovian.
: anyone know the answer?
| x********o
发帖数: 519 | 3 I said something similar, but clearly the interviewer was not satisfied.
if we choose Y_t=max W_t, then it is non-markovian, right? | l*******l
发帖数: 248 | 4 X0=X1=0,
Xk=sigma(2,k)Wj-2(Wj-Wj-1) |
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