martingale (probability theory)martingale (probability theory), a stochastic process in which the...

54

Upload: dominic-bryant

Post on 05-Jan-2016

245 views

Category:

Documents


3 download

TRANSCRIPT

Page 1: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 2: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the

Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the current and preceding values, is the current valueMartingale (tack) for horsesMartingale (collar) for dogs and other animalsMartingale (betting system)Martingale (rigging)In the sport of fencing, a martingale is a strap attached to the sword handle to prevent a sword from being dropped if disarmed.In the theatrical lighting industry, a Martingale is an obsolete term for a twofer, or occasionally a threefer.

Page 3: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 4: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the

The concept of martingale in probability theory was introduced by Paul Pierre Lévy, and much of the original development of the theory was done by Joseph Leo Doob. Part of the motivation for that work was to show the impossibility of successful betting strategies.

Page 5: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 6: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 7: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 8: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 9: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 10: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 11: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 12: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 13: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 14: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 15: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 16: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 17: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 18: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 19: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 20: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 21: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 22: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 23: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 24: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 25: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 26: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 27: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 28: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 29: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 30: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 31: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 32: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 33: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 34: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 35: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 36: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 37: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 38: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 39: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 40: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 41: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 42: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 43: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 44: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 45: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 46: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 47: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 48: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 49: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 50: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 51: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 52: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 53: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the
Page 54: Martingale (probability theory)Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the