- martingale theory
- мат.теория мартингалов
English-Russian scientific dictionary. 2008.
martingale theory
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Martingale (probability theory) — For the martingale betting strategy , see martingale (betting system). Stopped Brownian motion is an example of a martingale. It can be used to model an even coin toss betting game with the possibility of bankruptcy. In probability theory, a… … Wikipedia
Martingale central limit theorem — In probability theory, the central limit theorem says that, under certain conditions, the sum of many independent identically distributed random variables, when scaled appropriately, converges in distribution to a standard normal distribution.… … Wikipedia
Martingale representation theorem — In probability theory, the martingale representation theorem states that a random variable which is measurable with respect to the filtration generated by a Brownian motion can be written in terms of an Itô integral with respect to this Brownian… … Wikipedia
Martingale difference sequence — In probability theory, a martingale difference sequence (MDS) is related to the concept of the martingale. A stochastic series Y is an MDS if its expectation with respect to past values of another stochastic series X is zero. Formally If Z is a… … Wikipedia
Martingale — can refer to: Martingale (probability theory), a stochastic process in which the conditional expectation of the next value, given the current and preceding values, is the current value Martingale (tack) for horses Martingale (collar) for dogs and … Wikipedia
Martingale pricing — is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures,… … Wikipedia
Martingale (calcul stochastique) — Pour les articles homonymes, voir martingale (homonymie). En calcul stochastique, une martingale désigne un type de processus stochastique, c est à dire un processus aléatoire et dynamique. Ce type de processus X est tel que sa valeur espérée… … Wikipédia en Français
Martingale (betting system) — For the generalised mathematical concept, see martingale (probability theory). Originally, martingale referred to a class of betting strategies popular in 18th century France. The simplest of these strategies was designed for a game in which the… … Wikipedia
Martingale System — A money management system of investing in which the dollar values of investments continually increase after losses, or the position size increases with lowering portfolio size. This is a very risky method of investing. The main idea behind the… … Investment dictionary
probability theory — Math., Statistics. the theory of analyzing and making statements concerning the probability of the occurrence of uncertain events. Cf. probability (def. 4). [1830 40] * * * Branch of mathematics that deals with analysis of random events.… … Universalium
Doob's martingale convergence theorems — In mathematics specifically, in stochastic analysis Doob s martingale convergence theorems are a collection of results on the long time limits of supermartingales, named after the American mathematician Joseph Leo Doob. Contents 1 Statement of… … Wikipedia
