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Martingales

  • Sidney I. Resnick
Chapter
Part of the Modern Birkhäuser Classics book series (MBC)

Abstract

Martingales are a class of stochastic processes which has had profound influence on the development of probability and stochastic processes. There are few areas of the subject untouched by martingales. We will survey the theory and applications of discrete time martingales and end with some recent developments in mathematical finance.

Keywords

Conditional Expectation Contingent Claim Admissible Strategy Equivalent Martingale Measure Uniform Integrability 
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 New York 2014

Authors and Affiliations

  • Sidney I. Resnick
    • 1
  1. 1.School of Operations Research and Information EngineeringCornell UniversityIthacaUSA

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