martingale

(redirected from martingales)
Also found in: Dictionary, Thesaurus, Medical.

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 ?
Wang, Sharp inequalities for martingales with applications to the Beurling-Ahlfors and Riesz transforms, Duke Math.
Burkholder, Sharp inequalities for martingales and stochastic integrals, Asterisque 157-158 (1988), 75 94.
Osckowski, Sharp LlogL inequalities for differentially subordinated martingales and harmonic functions, Illinois J.
Osckowski, Sharp moment inequalities for differentially subordinated martingales, Studia Math.
2001), "Dynamic portfolio optimization and asset pricing: Martingale methods and probability distortion functions".
2007), "Stochastic optimization in finance and life insurance: Applications of the martingale method".
We turn to the fundamental question in which domain of the complex plane the martingales converge a.
The following Theorem treats convergence of the martingales in the remaining case.
Uniform convergence of martingales in the branching random walk.
It is well-known that the proof of the Girsanov Theorem involves the local martingale theory.
Keywords: Girsanov theorem, martingale, local martingale, exponential processes, Schwarz's inequality.
2][0, T]) is a martingale, then the process given by