Lecture
Martingale Convergence Theorem
In course
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Description
This lecture covers the proof of the martingale convergence theorem, focusing on a square-integrable martingale M with certain properties. It discusses Doob's maximal inequality, stopping times, and the orthogonality of increments. The lecture demonstrates the convergence of the martingale sequence almost surely, proving it to be a Cauchy sequence.
Instructors (2)
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