Concepedia

Martingale Theory

Martingale Theory is a mathematical framework within probability theory that characterizes a stochastic process in which the conditional expectation of the next value, given all prior values, equals the present value, thereby modeling fair games and serving as a foundational tool in the analysis of financial markets and arbitrage-free pricing.

1.9K

Publications

140.6K

Citations

2.3K

Authors

969

Institutions

Publications per year

2017–2026

199

Parents

Publications

1.9K

Asset Prices in an Exchange Economy

Robert E. Lucas · Econometrica · 1978 · 5.2K citations

, , +16

A Class of $K$-Sample Tests for Comparing the Cumulative Incidence of a Competing Risk

The Annals of Statistics · 1988 · 5K citations · Full text

, , +15

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

, , +16

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

, , +12

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

, , +16

1–5 of 1.9K

Authors

2.3K

  1. WS
    Walter Schachermayer

    University of Vienna, Austria

    17 publications · 2.3K citations

    16

    h-index

  2. MS
    Martin Schweizer

    ETH Zurich, Switzerland

    15 publications · 1.5K citations

    14

    h-index

  3. TK
    Tak Kuen Siu

    Macquarie University, Australia

    14 publications · 580 citations

    12

    h-index

  4. CC
    C. C. Heyde

    Australian National University, Australia

    13 publications · 3.3K citations

    12

    h-index

  5. RA
    Robert A. Jarrow

    Cornell University, United States

    14 publications · 690 citations

    12

    h-index

1–5 of 2.3K

Institutions

969

  1. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    24 h-index

    33 publications

    10.4K citations

  2. Columbia University

    New York, United States

    23 h-index

    49 publications

    2.6K citations

  3. Stanford University

    Stanford, United States

    22 h-index

    30 publications

    13.3K citations

  4. Sorbonne Université

    Paris, France

    21 h-index

    48 publications

    2.1K citations

  5. London School of Economics and Political Science

    London, United Kingdom

    20 h-index

    29 publications

    1.5K citations

  6. ETH Zurich

    Zurich, Switzerland

    19 h-index

    38 publications

    1.4K citations

  7. Centre National de la Recherche Scientifique

    Paris, France

    19 h-index

    37 publications

    1.7K citations

  8. Cornell University

    Ithaca, United States

    18 h-index

    37 publications

    3K citations

1–8 of 969

Venues

  1. The Annals of Probability

    116 publications · 9.9K citations

    54

    h-index

  2. Mathematical Finance

    62 publications · 4.9K citations

    34

    h-index

  3. Journal of Applied Probability

    JAP · 59 publications · 2.3K citations

    29

    h-index

  4. The Annals of Applied Probability

    47 publications · 4.1K citations

    27

    h-index

  5. Advances in Applied Probability

    AAP · 51 publications · 2.4K citations

    27

    h-index

1–5