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Chapter 3: Martingales and Stopping Times

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Masters Stochastic Processes and FInance Flashcards on Chapter 3: Martingales and Stopping Times, created by mho1 on 06/06/2015.
mho1
Flashcards by mho1, updated more than 1 year ago
mho1
Created by mho1 almost 9 years ago
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Question Answer
filtration
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natural filtration
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adapted
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blank
Martingale (discrete parameter)
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submartingale property
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supermartingale property
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previsible (filtration)
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martingale transform
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conditions for the martingale transform being a supermartingale / martingale
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stopping time
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these are equivalent
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stopped random variable stopped process
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N.B. cannot always take the limit as n tends to infinity and conclude that
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Doob's Optional Stopping Theorem
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