Martingale Convergence Theorem: Proof and Recap

In course

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Description

This lecture covers the proof and recap of the martingale convergence theorem, focusing on the conditions for the existence of a random variable. The instructor explains the key concepts such as martingale properties and the convergence criteria, providing a detailed analysis of the mathematical derivations and implications. The lecture also delves into the square-integrable martingale definition and its significance in the context of the theorem.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_bupgkj8e

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Statistics

Statistical inference: Mathematical statistics

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