Lecture 23: Martingales (Plain, Sub, and Super)

Name: Lecture 23: Martingales (Plain, Sub, and Super)
Uploaded: 2012-06-29T19:44:56Z
Duration: 1 h 22 min 40 s
Description: Description: After reviewing Wald’s identity, we introduce martingales and show they include many processes already studied. Next, submartingales, supermartingales, and stopped (simple, sub, super) martingales are introduced. Instructor: Prof. Robert Gallager

1:22:40

Description: After reviewing Wald’s identity, we introduce martingales and show they include many processes already studied. Next, submartingales, supermartingales, and stopped (simple, sub, super) martingales are introduced.

Instructor: Prof. Robert Gallager