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Martingales

Chapter
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Part of the Springer Texts in Statistics book series (STS)

Abstract

Martingales are probably the most ingenious invention and generalization of sums of independent random variables with mean 0. They play an important role in probability theory and in statistics. They are also extremely applicable, mathematically tractable, and astonishingly exploitable in purely mathematical contexts. In addition, the theory is extremely elegant and aesthetically appealing.

Keywords

Random Walk Independent Random Variable Conditional Expectation Uniform Integrability Martingale Property 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, Inc. 2005

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