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math.PR2026
When should one stop the most exciting game? Sequential Inference for win-martingales
Steven Campbell, Karl Kristian Engelund
Prediction markets have become a prominent way of aggregating beliefs about binary future events, and their price processes are often interpreted as evolving win probabilities, or…
math.PR2026
Embedding martingale diffusions as binary posteriors in sequential inference
Steven Campbell, Karl Kristian Engelund
Posterior probabilities are bounded martingales, but this fact alone does not identify the experiment that generates them. We show that every time-homogeneous martingale diffusion…