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17: Martingales

  • Page ID
    10298
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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 is shared under a CC BY 2.0 license and was authored, remixed, and/or curated by Kyle Siegrist (Random Services) via source content that was edited to the style and standards of the LibreTexts platform; a detailed edit history is available upon request.