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 concept of Doob's martingale, defining it as a martingale with respect to a given filtration. It explores properties such as integrability, measurability, and the martingale convergence theorem. The lecture also discusses examples illustrating the application of Doob's martingale in different scenarios.