4. Martingales and downtime

4.1 Martingales

We will now define and study in detail a fundamental class of processes, which verify the first property of the (14) relationship.

Definition 17

Let

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Martingales and downtime

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(1) - DURETT (R.) - Brownian motion and martingale analysis - . Wadsworth Advanced Books and Software (1984).
(2) - DURETT (R.) - Stochastics calculus. - Probability and Stochastic Series, CRC Press (1996).
(3)...

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