Stochastic processes · Martingales in discrete and continuous time

Introduction

What this guide covers

Introduction Introduction Stochastic processes · Measurement theory

Overview

Topics covered

• Introduction
• Martingale Theory
• Fundamentals of measure theory and conditional expectation
• Leaks and information flow
• The rigorous definition of conditional expectation
• Essential algebraic properties

Related concepts

Main connections

• Calculus & differentiation
• Measure theory & Lebesgue integration
• Mean & expected value
• Mathematical expectation & moments
• Maximum likelihood estimation
• Bayes' theorem & priors

Compatible notation

Mathematical sample in LaTeX

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