Martingale theory

Wald's martingale

In probability theory Wald's martingale, named after Abraham Wald and more commonlyknown as the geometric Brownian motion, is a stochastic process of the form for any real value λ where Wt is a Wiener process. The process is a martingale. (Wikipedia).

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

From playlist MIT 6.262 Discrete Stochastic Processes, Spring 2011

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

From playlist MIT 6.262 Discrete Stochastic Processes, Spring 2011

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

From playlist MIT 6.262 Discrete Stochastic Processes, Spring 2011

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

From playlist MIT 6.262 Discrete Stochastic Processes, Spring 2011

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MIT 6.262 Discrete Stochastic Processes, Spring 2011 View the complete course: http://ocw.mit.edu/6-262S11 Instructor: Robert Gallager License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

From playlist MIT 6.262 Discrete Stochastic Processes, Spring 2011

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Related pages

Wiener process | Geometric Brownian motion | Probability theory | Wald's equation | Martingale (probability theory) | Real number | Abraham Wald | Stochastic process