Masters Stochastic Processes and FInance Fichas sobre Chapter 3: Martingales and Stopping Times, creado por mho1 el 06/06/2015.
|
Creado por mho1
hace casi 9 años
|
|
Cerrar
|
|
Creado por mho1
hace casi 9 años
|
|
filtration
natural filtration
adapted
Martingale
(discrete parameter)
submartingale property
supermartingale property
previsible (filtration)
martingale transform
conditions for the martingale transform being a supermartingale / martingale
stopping time
these are equivalent
stopped random variable
stopped process
Doob's Optional Stopping Theorem
