Talk:Wald's martingale
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Geometric Brownian motion?[edit]
The process described in this article seems to be identical to the geometric Brownian motion. I wonder whether it would be a good idea to delete the article and (optionally) add to the geometric Brownian motion article a comment to the effect that in finance the process is sometimes also known as Wald's martingale? Jochen (talk) 11:04, 10 September 2013 (UTC)
- I agree that what is described is simply geometric Brownian motion (which, as far as I know, no-one calls "Wald's martingale"). I suspect Wald's martingale refers to the exponential martingale. I will look into this at some point and correct the article if needed. Malparti (talk) 12:47, 23 June 2023 (UTC)