Abstract
Martingales are extensively used in physics, biology, sociology and economics, among other fields. In particular, we will later use martingales in a biological context as models of fair competition involving species that have the same fitness. However, to explain the theory, it is more convenient to think of a martingale as the process that keeps track of the fortune of a gambler playing a fair game. Similarly, we think of submartingales and supermartingales as the processes that, respectively, keep track of the fortune of a gambler playing a favorable and an unfavorable game.
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Lanchier, N. (2017). Martingales. In: Stochastic Modeling. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-50038-6_5
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DOI: https://doi.org/10.1007/978-3-319-50038-6_5
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