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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
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.