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16. Martingales

Summary

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.

Topics

  1. Introduction
  2. Properties and Constructions
  3. Stopping Times
  4. Inequalities
  5. Convergence
  6. Backwards Martingales

Sources and Resources