ScholarLens Back to search
2013•Wiley Encyclopedia of Operations Research and Management ScienceRequires access

Theory of Martingales

Yingdong Lu

Open publisher page 0 citations

Abstract

Abstract In this article, we discuss some advanced results in the theory of martingales and their application in operations research and management science. These results include (i) martingale inequalities, (ii) martingale limit theorem, and (iii) the optional stopping theorem. We also present a brief discussion on martingales with continuous parameter. This is a continuation of the articles Discrete‐Time Martingales and Continuous‐Time Martingales.

About this research paper

What this paper is about

Abstract In this article, we discuss some advanced results in the theory of martingales and their application in operations research and management science. These results include (i) martingale inequalities, (ii) martingale limit theorem, and (iii) the optional stopping theorem. We also present a brief discussion on martingales with continuous parameter. This is a continuation of the articles Discrete‐Time Martingales and Continuous‐Time Martingales.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Abstract In this article, we discuss some advanced results in the theory of martingales and their application in operations research and management science. These results include (i) martingale inequalities, (ii) martingale limit theorem, and (iii) the optional stopping theorem. We also present a brief discussion on martingales with continuous parameter. This is a continuation of the articles Discrete‐Time Martingales and Continuous‐Time Martingales.

Key concepts: Martingale (probability theory), Optional stopping theorem, Mathematics, Local martingale, Continuation, Mathematical economics, Doob's martingale inequality, Pure mathematics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Theory of Martingales — Research Paper | ScholarLens