Abstract
The author did not learn probability theory properly when it was taught to him as an undergraduate. However, now that he has to teach, it has become a fascination. The problem stated below was given to second year students of the IISER BS-MS programme as an examination question; they answered it in interesting ways. An earlier article in Resonance [1] also talks about martingales.
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Suggested Reading
K B Athreya and M G Nadkarni, Mathematics of Risk Taking, Resonance, Vol.14,No.1, pp.66–79, 2009.
Wikipedia article on “Martingales”, (https://en.wikipedia.org/wiki/Martingale”_(probability_theory)
K L Chung and F AitSahlia, Elementary Probability Theory: With Stochastic Processes and an Introduction to Mathematical Finance, Springer; 4th Edition, 2006.
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Paranjape, K.H. Win or Lose? Listen to a Martingale!. Reson 24, 681–684 (2019). https://doi.org/10.1007/s12045-019-0825-1
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DOI: https://doi.org/10.1007/s12045-019-0825-1