In the mathematical theory of probability, a Doob martingale (named after Joseph L. Doob, also known as a Levy martingale, named after Paul Lévy) is a stochastic process that approximates a given random variable and has the martingale property with respect to the given filtration. It may be thought of as the evolving sequence of best approximations to the random variable based on information accumulated up to a certain time.
In the mathematical theory of probability, a Doob martingale (named after Joseph L. Doob, also known as a Levy martingale, named after Paul Lévy) is a stochastic process that approximates a given random variable and has the martingale property with respect to the given filtration. It may be thought of as the evolving sequence of best approximations to the random variable based on information accumulated up to a certain time.
Source: Wikipedia "Doob martingale" · CC BY-SA 4.0
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