Theory of Martingales
Theory of Martingales
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DOI：
10.1002/9780470400531.eorms1078
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发表时间：
2013-07
期刊：
影响因子：
--
通讯作者：
Yingdong Lu
中科院分区：
文献类型：
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作者：
Yingdong Lu
本文讨论了鞅论中的一些先进结果及其在运筹学和管理科学中的应用。这些结果包括（i）鞅不等式，（ii）鞅极限定理，（iii）选择停止定理。对连续参数鞅也作了简要的讨论。这是一个延续的文章离散时间鞅和连续时间鞅。关键词：鞅;鞅不等式;鞅收敛定理;选择停止;布朗运动
In this article, we discuss some advanced results in the theory of martingales and their application in operations research and management science. These results include (i) martingale inequalities, (ii) martingale limit theorem, and (iii) the optional stopping theorem. We also present a brief discussion on martingales with continuous parameter. This is a continuation of the articles Discrete-Time Martingales and Continuous-Time Martingales. Keywords: martingale; martingale inequalities; martingale convergence theorem; optional stopping; Brownian motion