Martingale Convergence Theorem

In course

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Description

This lecture covers the martingale convergence theorem, focusing on version 2. It explains the convergence of a square-integrable martingale with a given filtration. The theorem states that under certain conditions, there exists a random variable that the martingale converges to. Various examples and corollaries are discussed to illustrate the concept.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_u3jcevy5

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

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