Introduction to Martingales

2024/07/16 by Rohan Shah, Shah, Rohan
Economics, Econometrics and Finance · #FOS: Mathematics #Monetary Policy and Economic Impact #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2407.11914

openalex publication_date 2024/07/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper introduces Martingales by covering introductory measure theory concepts and the Lebesgue Integration and Conditional Expectation. It follows up with proofs of Kolomorgov's Theorem on conditional expectations, the Martingale Property, and the Pythagorean Theorem on Martingales. Finally, it ends with Martingales' applications in finance.

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