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Flashcards

Chapter 3: Martingales and Stopping Times

mho1 Stochastic Processes and FInance Masters English 18 cards

Chapter 3: Martingales and Stopping Times

Cards in this deck (18)

  1. 1filtrationfiltration
  2. 2natural filtrationnatural filtration
  3. 3adaptedadapted
  4. 4—blankblank
  5. 5Martingale (discrete parameter)Martingale (discrete parameter)
  6. 6submartingale propertysubmartingale property
  7. 7supermartingale propertysupermartingale property
  8. 8previsible (filtration)previsible (filtration)
  9. 9martingale transformmartingale transform
  10. 10conditions for the martingale transform being a supermartingale / martingaleconditions for the martingale transform being a supermartingale / martingale
  11. 11—
  12. 12stopping timestopping time
  13. 13these are equivalentthese are equivalentthese are equivalent
  14. 14—
  15. 15stopped random variable stopped processstopped random variable stopped process
  16. 16—N.B. cannot always take the limit as n tends to infinity and conclude thatN.B. cannot always take the limit as n tends to infinity and conclude thatN.B. cannot always take the limit as n tends to infinity and conclude that
  17. 17Doob's Optional Stopping TheoremDoob's Optional Stopping Theorem
  18. 18—

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Masters Stochastic Processes and FInance Flashcards on Chapter 3: Martingales and Stopping Times, created by mho1 on 06/06/2015.
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