Martingales
Admistrivia
- Questions from the homework?
- Start reading chapter 3
- Next homework due week from Friday at 5:00 (put in TA's box)
Chapter 2: Martingales details
- Definition: L1 bounded and expectations.
- Claim: E(Xt) = constant for all t.
- Much stronger result: P(max Xi > k) < 1/k.
- Why is this stronger?
- Proof: see class or book.
Dean P. Foster
Last modified: Tue Jan 22 16:58:42 EST 2008