Probability theory and stochastic processes Martingales Concept
Martingale
Summary
A martingale is a stochastic process in which the conditional expectation of the next value, given the past, is the present value. It models the fortune of a player in a fair game. The node martingale gives the precise definition in discrete time.
Where this leads
4 pages build on this one.
Further reading
About this page
| Tag | 0D0GBNDKDH |
|---|---|
| URI | m2://0D0GBNDKDH |
| Aliases | martingale-probability-theory |
| Kind | concept |
| Writing | W1 stated |
| MSC | 60G42 |
| Specializes | Stochastic process |
| Same as |
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What this page needs for W2
- edge instance_of in: at least two examples (1 of 2)
- edge not_instance_of in: at least one non-example (0 of 1)
The writing levels say how complete the text of a page is. They do not measure its truth.
What links here
Definitions
Results about this
- Martingale representation theorem
- Azuma's inequality
- Optional stopping theorem
- Doob's martingale convergence theorems
- Doob–Meyer decomposition theorem
- Lévy's upward theorem
- Doob decomposition theorem