$\require{physics}\newcommand{\cbrt}[1]{\sqrt[3]{#1}}\newcommand{\sgn}{\text{sgn}}\newcommand{\ii}[1]{\textit{#1}}\newcommand{\eps}{\varepsilon}\newcommand{\EE}{\mathbb E}\newcommand{\PP}{\mathbb P}\newcommand{\Var}{\mathrm{Var}}\newcommand{\Cov}{\mathrm{Cov}}\newcommand{\pperp}{\perp\kern-6pt\perp}\newcommand{\LL}{\mathcal{L}}\newcommand{\pa}{\partial}\newcommand{\AAA}{\mathscr{A}}\newcommand{\BBB}{\mathscr{B}}\newcommand{\CCC}{\mathscr{C}}\newcommand{\DDD}{\mathscr{D}}\newcommand{\EEE}{\mathscr{E}}\newcommand{\FFF}{\mathscr{F}}\newcommand{\WFF}{\widetilde{\FFF}}\newcommand{\GGG}{\mathscr{G}}\newcommand{\HHH}{\mathscr{H}}\newcommand{\PPP}{\mathscr{P}}\newcommand{\Ff}{\mathcal{F}}\newcommand{\Gg}{\mathcal{G}}\newcommand{\Hh}{\mathbb{H}}\DeclareMathOperator{\ess}{ess}\newcommand{\CC}{\mathbb C}\newcommand{\FF}{\mathbb F}\newcommand{\NN}{\mathbb N}\newcommand{\QQ}{\mathbb Q}\newcommand{\RR}{\mathbb R}\newcommand{\ZZ}{\mathbb Z}\newcommand{\KK}{\mathbb K}\newcommand{\SSS}{\mathbb S}\newcommand{\II}{\mathbb I}\newcommand{\conj}[1]{\overline{#1}}\DeclareMathOperator{\cis}{cis}\newcommand{\abs}[1]{\left\lvert #1 \right\rvert}\newcommand{\norm}[1]{\left\lVert #1 \right\rVert}\newcommand{\floor}[1]{\left\lfloor #1 \right\rfloor}\newcommand{\ceil}[1]{\left\lceil #1 \right\rceil}\DeclareMathOperator*{\range}{range}\DeclareMathOperator*{\nul}{null}\DeclareMathOperator*{\Tr}{Tr}\DeclareMathOperator*{\tr}{Tr}\newcommand{\id}{1\!\!1}\newcommand{\Id}{1\!\!1}\newcommand{\der}{\ \mathrm {d}}\newcommand{\Zc}[1]{\ZZ / #1 \ZZ}\newcommand{\Zm}[1]{\left(\ZZ / #1 \ZZ\right)^\times}\DeclareMathOperator{\Hom}{Hom}\DeclareMathOperator{\End}{End}\newcommand{\GL}{\mathbb{GL}}\newcommand{\SL}{\mathbb{SL}}\newcommand{\SO}{\mathbb{SO}}\newcommand{\OO}{\mathbb{O}}\newcommand{\SU}{\mathbb{SU}}\newcommand{\U}{\mathbb{U}}\newcommand{\Spin}{\mathrm{Spin}}\newcommand{\Cl}{\mathrm{Cl}}\newcommand{\gr}{\mathrm{gr}}\newcommand{\gl}{\mathfrak{gl}}\newcommand{\sl}{\mathfrak{sl}}\newcommand{\so}{\mathfrak{so}}\newcommand{\su}{\mathfrak{su}}\newcommand{\sp}{\mathfrak{sp}}\newcommand{\uu}{\mathfrak{u}}\newcommand{\fg}{\mathfrak{g}}\newcommand{\hh}{\mathfrak{h}}\DeclareMathOperator{\Ad}{Ad}\DeclareMathOperator{\ad}{ad}\DeclareMathOperator{\Rad}{Rad}\DeclareMathOperator{\im}{im}\renewcommand{\BB}{\mathcal{B}}\newcommand{\HH}{\mathcal{H}}\DeclareMathOperator{\Lie}{Lie}\DeclareMathOperator{\Mat}{Mat}\DeclareMathOperator{\span}{span}\DeclareMathOperator{\proj}{proj}$ > [!idea] So there's no confusion > $\land$ means minimum, $\lor$ means maximum, $a^- = -\min(a,0)$ is the negative part, $a^+ = \max(a,0)$ is the positive part. This is the [[homepage]] for Martingale theory. It builds off of [[Probability]]. # Sequences 1. Suggested reading: my 18.615 notes, for a naive (no measure theory) introduction. 2. [[Discrete-Time Random Process]] 3. [[Discrete-time Martingale]] 4. [[Optional Stopping Theorem]] 5. [[OST Problems]] Who's this Doob guy and why does he have so many theorems 5. [[Doob's upcrossing inequality]] 6. [[Discrete Doob's Maximal Inequalities]] 7. [[Martingale Convergence Theorems]] We take a brief break to nuke SLLN. 8. [[SLLN via Martingales]] An unrelated theorem. I'm not sure how this is related to anything. 9. [[Wald's Identities]] A brief glance at 18.615: (this is generalized in the theory of [[Markov Processes Homepage|markov processes]]). 11. [[Markov Chain on Countable State Spaces]]