Martingale theory | Probability theorems

Doob's martingale convergence theorems

In mathematics – specifically, in the theory of stochastic processes – Doob's martingale convergence theorems are a collection of results on the limits of supermartingales, named after the American mathematician Joseph L. Doob. Informally, the martingale convergence theorem typically refers to the result that any supermartingale satisfying a certain boundedness condition must converge. One may think of supermartingales as the random variable analogues of non-increasing sequences; from this perspective, the martingale convergence theorem is a random variable analogue of the monotone convergence theorem, which states that any bounded monotone sequence converges. There are symmetric results for submartingales, which are analogous to non-decreasing sequences. (Wikipedia).

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Related pages

Convergence of random variables | Almost surely | Joseph L. Doob | Almost all | Probability space | Kolmogorov's zero–one law | Continuous function | Tautology (logic) | Filtration (mathematics) | Martingale (probability theory) | Filtration (probability theory) | Sample space | Monotone convergence theorem | Limit (mathematics) | Mathematics | Filtered probability space | Chebyshev's inequality | Integral | Random variable | Lp space | Stopping time | Conditional expectation