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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 the key ingredient of maximal inequality for square-integrable martingales. The instructor explains the concept of stopping time and its application in the context of martingales, emphasizing the control over the behavior of the process. Various mathematical expressions and inequalities are derived to illustrate the convergence properties of martingales.