One of the most important concepts of modern probability theory is the martingale, which formalises the notion of a fair game. In this chapter, we first lay the foundations for the treatment of general stochastic processes. We then introduce martingales and the discrete stochastic integral. We close with an application to a model from mathematical finance.
Keywords
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Rights and permissions
Copyright information
© 2008 Springer-Verlag London Limited
About this chapter
Cite this chapter
(2008). Martingales. In: Probability Theory. Universitext. Springer, London. https://doi.org/10.1007/978-1-84800-048-3_9
Download citation
DOI: https://doi.org/10.1007/978-1-84800-048-3_9
Publisher Name: Springer, London
Print ISBN: 978-1-84800-047-6
Online ISBN: 978-1-84800-048-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)