We will treat what many would regard as the most important type of random sequence, for it is both intrinsically natural and also a tool for treating other topics in probability. Martingales are particularly important in the study of Markov sequences and Markov processes, as will be seen later in this book.
KeywordsFiltration Stake Verse
Unable to display preview. Download preview PDF.
- Durrett, Richard, Brownian Motion and Martingales in Analysis, Wadsworth Advanced Books & Software, Belmont, California, 1984.Google Scholar
- Krylov, N. V., Introduction to the Theory of Diffusion Processes, American Mathematical Society, Providence, Rhode Island, 1995.Google Scholar
- Meyer, Paul A., Probability and Potentials, Blaisdell, Waltham, Massachusetts, 1966.Google Scholar
- Rogers, L. C. G. and Williams, David, Diffusions, Markov Processes, and Martingales, Vol 2: Ito Calculus, John Wiley & Sons, Chichester, 1987.Google Scholar
- Skorohod, A. V., Asymptotic Methods in the Theory of Stochastic Differential Equations (translated from Russian, orig. 1987), American Mathematical Society, Providence, Rhode Island, 1989.Google Scholar