martingale

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martingale

1. a strap from the reins to the girth of a horse preventing it from carrying its head too high
2. any gambling system in which the stakes are raised, usually doubled, after each loss
3. Nautical
a. a chain or cable running from a jib boom to the dolphin striker, serving to counteract strain
b. another term for dolphin striker

martingale

[′märt·ən‚gāl]
(statistics)
A sequence of random variables x1, x2, …, where the conditional expected value of xn + 1given x1, x2, …, xn , equals xn .
References in periodicals archive ?
Martingales and large deviations for binary search trees.
The proof uses martingale convergence theorems in discrete and continuous-time.
This type of martingale was first observed in the BST case by Jabbour-Hattab, see (JHOI).
p] boundedness of the martingale in the discrete case for real z [member of] [V.
Due to (7) and (8) we also have the limit martingale connection
1] convergence of the martingale M(t, z) we know that M([infinity], z) [member of] [L.
Use the above limit martingale connection to deduce the same result in the discrete case.
Next we need to substitute the martingale term in the integrand by its limit.
It is known that a martingale is a local martingale but not conversely.
h](t), 0 [less than or equal to] t [less than or equal to] T is a martingale if
2]h(s) dB(s) is a martingale with mean zero, we get Equation 2.
2][0, T]) to be a martingale is equivalent to finding sufficient conditions for the validity of the Girsanov Theorem.