CONDITIONAL EXPECTATION AND MARTINGALES

CONDITIONAL EXPECTATION AND MARTINGALES 1. INTRODUCTION Martingales play a role in stochastic processes roughly similar to that played by conserved quantities in dynamical systems. Unlike a conserved quantity in dynamics, which remains constant in time, a martingale’s value can change; however, its expectation remains constant in time.

  Expectations, Conditional, Martingales, Conditional expectation and martingales