Introduction to Martingales
Probability
2024-07-17 v1
Abstract
This paper introduces Martingales by covering introductory measure theory concepts and the Lebesgue Integration and Conditional Expectation. It follows up with proofs of Kolomorgov's Theorem on conditional expectations, the Martingale Property, and the Pythagorean Theorem on Martingales. Finally, it ends with Martingales' applications in finance.
Cite
@article{arxiv.2407.11914,
title = {Introduction to Martingales},
author = {Rohan Shah},
journal= {arXiv preprint arXiv:2407.11914},
year = {2024}
}
Comments
18 pages