submartingale

From Wiktionary, the free dictionary
Jump to navigation Jump to search

English

[edit]

Etymology

[edit]

From sub- +‎ martingale.

Noun

[edit]

submartingale (plural submartingales)

  1. (mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is superior or equal to its current value.
    If a gambler repeatedly plays a game with positive expectation, his payoff over time is a submartingale.

Usage notes

[edit]