17: Martingales

Probability, Mathematical Statistics, and Stochastic Processes · LibreTexts

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    Martingalges, and their cousins sub-martingales and super-martingales are real-valued stochastic processes that are abstract generalizations of fair, favorable, and unfair gambling processes. The importance of martingales extends far beyond gambling, and indeed these random processes are among the most important in probability theory, with an incredible number and diversity of applications.

    This page titled 17: Martingales was last modified on Mon, 10 Aug 2020 14:52:25 GMT and is shared under a CC BY 2.0 license and was authored, remixed, and/or curated by Kyle Siegrist (RandomServices) via source content that was edited to the style and standards of the LibreTexts platform.