Probability: A Graduate Course pp 467-553 | Cite as
Martingales
Chapter
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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
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© Springer Science+Business Media, Inc. 2005