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(X_t) = constant for all t.
• Much stronger result: P(max X_i > k) < 1/k.
• Why is this stronger?
• Proof: see class or book.