# Martingales

### CONDITIONAL EXPECTATION AND MARTINGALES

CONDITIONAL EXPECTATION AND MARTINGALES 1. INTRODUCTION Martingales play a role in stochastic processes roughly similar to that played by conserved

galton.uchicago.edu

### Chapter5 Martingales.

160 CHAPTER5. MARTINGALES. Exercise 5.4. In order to establish that a nonnegative martingale has an almost sure limit (which may not bean L 1 limit) show that we can assume, without loss of generality, that we are in the following situation. = 1 j =1 R ; F n =[ x 1, ···,x n]; X j(

www.math.nyu.edu

### Martingales

Martingales H. Krieger, Mathematics 156, Harvey Mudd College Fall, 2008 Deﬁnitions: A sequence {X n : n = 0,1,2,...} of random variables, with

www.math.hmc.edu

### CONDITIONAL EXPECTATION AND MARTINGALES

{ X of integrable real (or complex) random variables with the property that for every bounded

www.stat.uchicago.edu

### LECTURES 3AND 4: MARTINGALES

LECTURES 3AND 4: MARTINGALES 1. Introduction In an arbitrage-free market, the share price of any traded asset at timet=0 is the expected value, under an equilibrium measure, of its discounted price at market terminationt=T.

www.stat.uchicago.edu

### MARTINGALES, DIFFUSIONS AND FINANCIAL MATHEMATICS

iv LITERATURE There are very many books on the topics of the course. The list below isa small selection. Discrete martingales are discussed inmost advanced introductions to general probability theory.

www.math.vu.nl

### Notes on Random Variables, Expectations, Probability ...

Eco 315.2 Spring 2007 C.Sims Notes on Random Variables, Expectations, Probability Densities, and Martingales Includes Exercise Due Tuesday, April 4.

sims.princeton.edu

### References

Mathematical Techniques in Finance, Proof of Theorem 2.11, c 2005 Aleı µ Cerný 1 Proof of Theorem 2.11 1. The "if" part. (a) De–ne the subspace of all pay-o⁄s with non-positive price,

www.martingales.info

### MARTINGALES IN BANACH LATTICES

MARTINGALES IN BANACH LATTICES VLADIMIR G. TROITSKY Dedicated to the memory of Yuri Abramovich, my friend and advisor. Abstract. Inthis article we present a version ofmartingaletheoryinterms ofBanach

www.math.ualberta.ca

### Martingales in Sequential Analysis and Time Series, 1945{1985

Martingales in Sequential Analysis and Time Series, 1945{1985 Tze LeungLa i y Abstract This paper reviews the history of martingales in sequential analysis, beginning with Wald'sground-breaking paper in 1945 that laid the foundations for the subject, and ending in the decade 1975{1985 when the ...

www-stat.stanford.edu

### Other sites you could try:

Find videos related to Martingales