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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

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

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