supermartingale
English
Etymology
super- + martingale
Noun
supermartingale (plural supermartingales)
- (mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is bounded above by the current value.
- If a gambler repeatedly plays a game with negative expectation, his payoff over time is a supermartingale.
Usage notes
A supermartingale is a martingale if and only if it is also a submartingale.
This article is issued from
Wiktionary.
The text is licensed under Creative
Commons - Attribution - Sharealike.
Additional terms may apply for the media files.