Question

Define Martingales, Sub-Martingales and Super-Martingales with examples.

18 Apr 2025
Answer :
Word Count : 481

A *stochastic process* is a collection of random variables indexed by time, representing the evolution of a system subject to random influences. Within the study of stochastic processes, martingales, sub-martingales, and super-martingales are important classes of processes that describe specific properties of conditional expectations over time.

A martingale is a stochastic process that models a fair game, where the expected future value, given all past information, is equal to the current value. Formally, let \(\{X_t\}_{t \geq 0}\) be a stochastic ____ _____ ___ __________ _______ _______ ___ ______ ________.
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