Measure Free Martingales

[摘要] We give a necessary and sufficient condition on a sequence of functions on a set 𝛺 under which there is a measure on 𝛺 which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a natural maximum entropy condition on the conditional probabilities.

[学科分类] 数学（综合）

[关键词] Martingale;Boltzmann distribution;asset pricing.