- 4.2k Downloads
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.
KeywordsRandom Walk Independent Random Variable Conditional Expectation Uniform Integrability Martingale Property
Unable to display preview. Download preview PDF.