Uncertainty and Probability Multiple Prior Martingale Theory

Multiple Prior Martingales

Definition

An adapted, bounded process (St) is called a multiple prior

supermartingale iff

St≥ess infP∈P EP[St+1|Ft]

holds true for allt≥0.

multiple prior martingale: =

multiple prior submartingale:≤

Remark

Nonlinear notion of martingales.

Different fromP–martingale (martingale for all P∈P

simultaneously)