Martingales
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This chapter summarizes the essentials of sequential conditioning and martingale theory. After a review with examples of the basic properties of martingales and semi‐martingales, including the Doob decomposition, the upcrossing inequality and martingale convergence are studied and also the role of the conditional variances in establishing convergence. The important martingale inequalities of Kolmogorov, Doob, Burkholder, and Azuma are proved.
2014 ◽
Vol 369
(1644)
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pp. 20130420
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1995 ◽
Vol 03
(03)
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pp. 889-902
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2013 ◽
Vol 57
(1)
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pp. 55-78
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2018 ◽
Vol 452
◽
pp. 022057
2017 ◽
Vol 7
(8)
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pp. 1701-1712
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