Explore: Martingales (mathematics)

Pierre (1991). Martingales and Markov Chains. Chapman and Hall. ISBN 978-1-584-88329-6. Williams, David (1991). Probability with Martingales. Cambridge University

A martingale is a class of betting strategies that originated from and were popular in 18th-century France. The simplest of these strategies was designed

mathematician, specializing in analysis and probability theory. The theory of martingales was developed by Doob. Doob was born in Cincinnati, Ohio, February 27

a driftless diffusion process is a local martingale, but not necessarily a martingale. Local martingales are essential in stochastic analysis (see Itô

are martingales based on the martingale the Wiener process, forming continuous-time martingales. Martingales mathematically formalize the idea of a 'fair

In mathematical finance, a risk-neutral measure (also called an equilibrium measure, or equivalent martingale measure) is a probability measure such that

In mathematics and information theory of probability, a sigma-martingale is a semimartingale with an integral representation. Sigma-martingales were introduced

continuous martingale has a finite limit (as t → ∞) almost surely. All stated (in this subsection) for martingales holds also for local martingales. A wide

In mathematics, quadratic variation is used in the analysis of stochastic processes such as Brownian motion and other martingales. Quadratic variation

stochastic integral preserves the space of p-integrable martingales. These are càdlàg martingales such that E(|Mt|p) is finite for all t. However, this