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Erschienen in:
2024 | OriginalPaper | Buchkapitel
Martingales
verfasst von : Pierre Brémaud
Erschienen in: An Introduction to Applied Probability
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A martingale is for the general public a clever way of gambling. In mathematics, it formalizes the notion of fair game and we shall see that martingale theory indeed has something to say about such games. However the interest and scope of martingale theory extends far beyond gambling and has become a fundamental tool of the theory of stochastic processes. The present chapter is an introduction to this topic, featuring the two main pillars on which it rests: the optional sampling theorem and the convergence theory of martingales.