Interview Question: Gambler’s Chain

Sample Question #161 (applied math)

What is a Markov chain? How is a Markov chain different from a martingale?

(Comment: this is a great question testing you on a basic concept from stochastics and also testing your understanding of its relations to another fundamental concept)

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2 Responses to Interview Question: Gambler’s Chain

  1. Brett says:

    Sorry, in my answer, the expectation for the martingale should be conditional expectation, conditional on all past values up to and including the present value.

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