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Discrete Parameter Martingales

Chapter
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Part of the Indian Statistical Institute Series book series (INSIS)

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.

Keywords

Discrete Parameter Martingales Stochastic Integral Doob Decomposition Uniform Integrability Maximal Inequality 
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.

Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Chennai Mathematical InstituteSiruseriIndia

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