Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Martingale = Independent Increments?

  1. Oct 28, 2009 #1
    Here's a stupid question: for a Gaussian process, are these two properties equivalent?
     
  2. jcsd
  3. Oct 28, 2009 #2
    No - the increments can be independent without having zero expectation, and vice-versa.
     
  4. Oct 30, 2009 #3
    Right, thank you, I have a centered Gaussian process in mind (should've mentioned it).
     
Share this great discussion with others via Reddit, Google+, Twitter, or Facebook