Supermartingale

supermartingale

Submartingale und Supermartingale ; Beispiele. Definition: $ \;$ Sei $ \{X_t,\,t\ge 0 \}$ ein stochastischer Prozess über dem. Als Martingal bezeichnet man in der Wahrscheinlichkeitstheorie einen stochastischen Prozess, Eng verwandt mit den Martingalen sind die Supermartingale, dies sind stochastische Prozesse, bei denen im Mittel ein Verlust auftritt, und  ‎ Definition · ‎ Motivierendes Beispiel · ‎ Beispiele · ‎ Eigenschaften. it is called a super-martingale. An important result is Jensen's inequality. Theorem. If Xn is a martingale and if φ(x) is a convex function of x then φ(Xn) = Yn is.

Supermartingale - Fazit der

A martingale is a stochastic process which stays the same, on average. Originally, martingale referred to a class of betting strategies that was popular in 18th-century France. As always, we work with respect to a filtered probability space. The first statement applies in particular to martingales, submartingales and supermartingales, whereas the second statement is important for the study of general semimartingales. Local submartingales and local supermartingales are defined similarly. X is integrable and, for everyis bounded. Stochastic Calculus NotesThe General Theory of Semimartingales — George Lowther The week's top questions and answers Important community announcements Questions that need answers. However, this is not enough to conclude that they canal sport proper martingales. Choosing the sequence of stopping times shows. Supermartingale Lesen Bearbeiten Quelltext bearbeiten Versionsgeschichte. Often, given a process, it is important to show that it is a semimartingale so that the techniques of stochastic calculus can be applied.

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106 (a) - Martingales supermartingale

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