Definition Let (il, F, P) be a probability triple and {Tt} be a filtration on F. A stochastic process X is an {Ft} supermartingale if: (i) X is adapted to \Tt } ; (ii) E[\Xt \]. Submartingale und Supermartingale ; Beispiele. Definition: $ \;$ Sei $ \{X_t,\,t\ge 0 \}$ ein stochastischer Prozess über dem. M is a submartingale if and only if −M is a supermartingale and M is a martingale if it is both a submartingale and a supermartingale. The basic.


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Definition 1 Let P be a class of stochastic processes. Then, a process is an indicator function of some elementary predictable set if and only if it is elementary predictable and takes values in. PR , Stochastic Calculus , Submartingale , Supermartingale. Tools What links here Related changes Upload file Special pages Permanent link Page information Wikidata item Cite this page. Often, given a process, it is important to show that it is a semimartingale so that the techniques of stochastic calculus can be applied.


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