Copiar e Editar

Chapter 3: Martingales and Stopping Times

Descrição

Masters Stochastic Processes and FInance FlashCards sobre Chapter 3: Martingales and Stopping Times, criado por mho1 em 06-06-2015.
mho1
FlashCards por mho1, atualizado more than 1 year ago
mho1
Criado por mho1 mais de 9 anos atrás
22
1
0

Resumo de Recurso

Questão Responda
filtration
Image: 3ea7ba34-4ff8-4bb7-bc79-814b86bec72a (image/png)
natural filtration
Image: dfb3356a-5b8b-479f-8c2f-758794f8b130 (image/png)
adapted
Image: f034efe6-b975-4350-a356-2837893e36e4 (image/png)
Image: ada1ace2-a583-418f-8798-72370fd71197 (image/png)
blank
Martingale (discrete parameter)
Image: c1a05a9e-855f-45a3-831d-0766431b184e (image/png)
submartingale property
Image: 4f92f86d-3d82-4230-b643-83ee11dc911e (image/png)
supermartingale property
Image: 69dea648-0e16-4dad-9d70-8e40486b4949 (image/png)
previsible (filtration)
Image: b166c883-9122-43c4-83a3-7d46bcbaf393 (image/png)
martingale transform
Image: c2ed7a6e-1266-418f-be63-d5cc7725235e (image/png)
conditions for the martingale transform being a supermartingale / martingale
Image: 0be5a4c2-9678-40b0-88dc-6d8ea0b8cc90 (image/png)
Image: c948228b-7bff-48b6-8783-247a67b88015 (image/png)
Image: 8900a979-6078-475e-a63e-8e6a943fb227 (image/png)
stopping time
Image: 4f45304a-66df-4d5d-bdaf-5eb3d79ebbf0 (image/png)
these are equivalent
Image: 28f2d68d-aa13-4b6b-97fd-7fbed27695cb (image/png)
Image: 30b68a3e-aee7-469a-b0e5-287f872e778b (image/png)
Image: 7fd69e3f-f2e3-4ff2-883a-ee88025578c6 (image/png)
Image: 65b75ea2-7353-48eb-a515-42891fda5f70 (image/png)
stopped random variable stopped process
Image: 74fb58d0-002e-4435-8d9f-28c5782c5a8d (image/png)
Image: 524af51f-a8d1-4cfc-afb4-1514ad25c099 (image/png)
N.B. cannot always take the limit as n tends to infinity and conclude that
Image: 44311e30-78b6-4ed9-907b-09cb077a8d8f (image/png)
Doob's Optional Stopping Theorem
Image: 4c90d16b-9786-4d55-b04e-91d47ba85c8f (image/png)
Image: d83d5d84-86de-4f00-b7e5-f8c6bc1c7ca5 (image/png)
Image: 8004403f-afcc-49bd-b80d-96f6e598dcb5 (image/png)

Quer criar seus próprios Flashcards gratuitos com GoConqr? Saiba mais.

Semelhante

Maths Probability
Will Thorpe
Probability S1
Alice Kimpton
Maths Exponents and Logarithms
Will Thorpe
New GCSE Maths required formulae
Sarah Egan
GCSE Maths: Statistics & Probability
Andrea Leyden
Counting and Probability
Culan O'Meara
Teoría de Conteo
ISABELLA OSPINA SAENZ
Mathematics Prep for maths exam
Lulwah Elhariry
Probability
Dami Alvarez
Higher-order Cognition
Sneha Mittal
Probability
Ravindra Patidar
Explore a Biblioteca