I When are Markov Matrices also Martingales?

WWGD · Tuesday, 4:36 PM

Are there known conditions under which a Markov Chain is also a Martingale? I know only that the only Random Walk that is a Martingale is the symmetric one, i.e., p= 1-p =1/2.

Office_Shredder · 2025-10-19T06:45:22-0500

If you have an nxn Markov matrix the first thing you need to decide is what does expected value mean? You have n discrete observations, are they the numbers 1 through n or something else? If your Markov chain is a random walk on a graph of n vertices the question doesn't even obviously make sense

I When are Markov Matrices also Martingales?

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