Abstract
In this chapter, we will discuss martingales indexed by integers (mostly positive integers) and obtain basic inequalities on martingales and other results which are the basis of most of the developments in later chapters on stochastic integration. We will begin with a discussion on conditional expectation and then on filtration—two notions central to martingales.
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Karandikar, R.L., Rao, B.V. (2018). Discrete Parameter Martingales. In: Introduction to Stochastic Calculus. Indian Statistical Institute Series. Springer, Singapore. https://doi.org/10.1007/978-981-10-8318-1_1
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DOI: https://doi.org/10.1007/978-981-10-8318-1_1
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Publisher Name: Springer, Singapore
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Online ISBN: 978-981-10-8318-1
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