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Lecture 23: Martingales (Plain, Sub, and Super)

Lecture 23: Martingales (Plain, Sub, and Super)

This video was recorded at 6.262 Discrete Stochastic Processes. After reviewing Wald's identity, we introduce martingales and show they include many processes already studied. Next, submartingales, supermartingales, and stopped (simple, sub, super) martingales are introduced.

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