Doob martingale (nonfiction)

A Doob martingale (named after Joseph L. Doob, also known as a Levy martingale) is a mathematical construction of a stochastic process which approximates a given random variable and has the martingale property with respect to the given filtration. It may be thought of as the evolving sequence of best approximations to the random variable based on information accumulated up to a certain time.

When analyzing sums, random walks, or other additive functions of independent random variables, one can often apply the central limit theorem, law of large numbers, Chernoff's inequality, Chebyshev's inequality or similar tools. When analyzing similar objects where the differences are not independent, the main tools are martingales and Azuma's inequality.

Fiction cross-reference

• Crimes against mathematical constants
• Gnomon algorithm
• Gnomon Chronicles
• Mathematics

Nonfiction cross-reference

• Mathematics (nonfiction)

External links:

• Doob martingale @ Wikipedia