6.262 | Spring 2011 | Graduate

Discrete Stochastic Processes

Video Lectures

Lecture 23: Martingales (Plain, Sub, and Super)

Description: After reviewing Wald’s identity, we introduce martingales and show they include many processes already studied. Next, submartingales, supermartingales, and stopped (simple, sub, super) martingales are introduced.

Instructor: Prof. Robert Gallager

Martingales (Plain, Sub, and Super) (PDF)

Course Info

As Taught In
Spring 2011
Learning Resource Types
Problem Sets with Solutions
Exams with Solutions
Online Textbook
Lecture Videos