Chapter 3: Martingales and Stopping Times

mho1
Flashcards by mho1, updated more than 1 year ago
mho1
Created by mho1 about 6 years ago
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Masters Stochastic Processes and FInance Flashcards on Chapter 3: Martingales and Stopping Times, created by mho1 on 06/06/2015.

Resource summary

Question Answer
filtration
natural filtration
adapted
blank
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
N.B. cannot always take the limit as n tends to infinity and conclude that
Doob's Optional Stopping Theorem
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