Lecture

Martingale Convergence Theorem: Version 1

In course

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Description

This lecture covers the martingale convergence theorem, introducing Doob's martingale and a square-integrable martingale. It explains the conditions under which a martingale converges, providing examples and demonstrating the convergence theorem. The lecture concludes with the proof of the convergence theorem.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_o1nmvcma

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