Notes on Martingale Theory

  title={Notes on Martingale Theory},
  author={Joseph L. Doob},
Abstract : Although several writers, for example Bernisteini, Levy, and Ville, had used what would now be identified as martingale concepts, the first systematic studies appeared in [2] and [3]. Since then, martingale theory has been applied extensively, but little progress has been made in the theory itself. The purpose of the present paper is to point out how much spade work remains to be done in the theory, by deriving new theorems without the use of deep technical apparatus. Throughout this… CONTINUE READING


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