Discrete Time Stochastic Processes
نویسنده
چکیده
4 Martingales 35 4.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 4.2 Doob Decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 4.3 Optional Sampling Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 4.4 Inequalities and Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 4.5 Backward Martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
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