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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Official source

https://mediaspace.epfl.ch/media/0_9bh9bb16

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Ontological neighbourhood

Logic

Classical logic: First-order logic

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