Abstract
In Chapter 24 we defined a martingale via an equality for certain conditional expectations. If we replace that equality with an inequality we obtain super-martingales and submartingales. Once again (Ω, F, P) is a probability space that is assumed given and fixed, and (F n ) n≥1 is an increasing sequence of σ-algebras.
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© 2000 Springer-Verlag Berlin Heidelberg
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Jacod, J., Protter, P. (2000). Supermartingales and Submartingales. In: Probability Essentials. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51431-9_25
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DOI: https://doi.org/10.1007/978-3-642-51431-9_25
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-66419-2
Online ISBN: 978-3-642-51431-9
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