Conditional Expectation and Martingale Theory

  • A. V. Balakrishnan
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 84)


In the theories of estimation and control involving stochastic differential systems, a central role is played by the concept of Martingales (due largely to Doob [l]). The Martingale theory in turn requires the notion of Conditional Expectation. In view of their importance, we shall now study these two concepts and some of the related results of particular relevance to our purposes.


Conditional Expectation Simple Function Wiener Process Borel Function Martingale Theory 
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Copyright information

© Springer-Verlag Berlin · Heidelberg 1973

Authors and Affiliations

  • A. V. Balakrishnan
    • 1
  1. 1.System Science Department, School of Engineering and Applied SciencesUniversity of CaliforniaLos AngelesUSA

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