Martingale Convergence

In course

Description

This lecture covers the concept of martingale convergence, stating that if the expectation of the absolute value of a martingale is finite, then there exists a random variable such that the martingale converges. The instructor discusses various theorems and remarks related to the assumption of the martingale. Examples and applications are provided to illustrate the concept, along with explanations on how to deduce values using martingales. The lecture also delves into the conditions for non-negative martingales and explores the variance of martingales, highlighting the puzzling fact that the variance can be expressed in terms of exponential functions.

Instructors (2)

Official source

https://mediaspace.epfl.ch/media/0_82gxt271

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