Sub- and Supermartingales: Theory and Applications

In course

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Description

This lecture covers the concepts of sub- and supermartingales, focusing on square-integrable processes and martingale filtrations. It also delves into stopping times and optional stopping theorems in the context of discrete-time stochastic processes.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_jm21wq52

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Probability theory: Stochastic processses

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