Lecture

Doob's Martingale

In course

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Description

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.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_n48hbmzw

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Statistics

Statistical inference: Mathematical statistics

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