Supermartingale
Definition, Meaning & Examples
Part of speech noun
Quick meaning: Supermartingale is a noun meaning (mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is bounded above by the current value.
Meaning
(mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is bounded above by the current value.
Example Sentences
If a gambler repeatedly plays a game with negative expectation, his payoff over time is a supermartingale.
With these assumptions, something amazing occurs: Euler inequality (1.3.3) implies that the marginal utility of consumption is a nonnegative supermartingale. [emphasis in original]
Word Forms
- supermartingales
Related Words
Related dictionary entries include submartingale, martingale, semimartingale, superlimit, microbundle, basinhopping.
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Sources & Attribution
FreeDictionaryAPI.com / Wiktionary · Original source · CC BY-SA 4.0
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