supermartingale

English

Etymology

super- + martingale

Noun

supermartingale (plural supermartingales)

  1. (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.