Martingale in diskreter Zeit

DOI10.1007/978-3-642-29961-2zbMath1262.60002OpenAlexW2483518436MaRDI QIDQ2904653

Harald Luschgy

Publication date: 15 August 2012

Full work available at URL: https://doi.org/10.1007/978-3-642-29961-2

zbMATH Keywords

invariancebranching processesstochastic approximationoption pricingexchangeabilitymartingaleU-statisticsunconditional basesmartingale convergencelocal martingaleunconditional convergenceoptional decompositionsubmartingalemartingale inequalitiessupermartingalemartingale limit theoremsoptional stopping

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Discrete-time Markov processes on general state spaces (60J05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Applications of branching processes (60J85) Stochastic approximation (62L20) Derivative securities (option pricing, hedging, etc.) (91G20) Summability and bases; functional analytic aspects of frames in Banach and Hilbert spaces (46B15) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Exchangeability for stochastic processes (60G09)

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