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

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

credit

Robert Gallager and MIT OpenCourseWare

license

OpenCourseWare