supermartingale
supermartingale · supermartingales
A stochastic process for which the conditional expectation of future values given the…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
1 sensesA stochastic process for which the conditional expectation of future values given the sequence of all prior values is bounded above by the current value.
If a gambler repeatedly plays a game with negative expectation, his payoff over time is a supermartingale.
Origin
From super- + martingale.From super- + martingale.
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Forms
plural: supermartingales| Singular | supermartingale |
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| Plural | supermartingales |
regular