Concepedia

Martingales

Martingale is a stochastic process within the theory of probability characterized by the property that the conditional expectation of the next value in the sequence, given all prior values, equals the current value, thereby modeling a fair game in discrete or continuous time.

665

Publications

48K

Citations

765

Authors

410

Institutions

Publications per year

2017–2026

50

Variants

Martingale

Parents

Publications

665

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

, , +14

Martingale Limit Theory and its Application.

R. M. Loynes, Peter Hall, C. C. Heyde · Journal of the Royal Statistical Society Series A (General) · 1984 · 2.8K citations · Full text

, , +12

Probability with martingales

Choice Reviews Online · 1992 · 1.5K citations

, , +17

Point Processes and Queues: Martingale Dynamics.

D. Vere‐Jones, Pierre Brémaud · Journal of the American Statistical Association · 1983 · 1.1K citations

, , +16

USER-FRIENDLY TAIL BOUNDS FOR SUMS OF RANDOM MATRICES

CaltechAUTHORS (California Institute of Technology) · 2010 · 1.1K citations

, , +13

1–5 of 665

Authors

765

  1. WS
    Walter Schachermayer

    University of Vienna, Austria

    14 publications · 1.2K citations

    14

    h-index

  2. CC
    C. C. Heyde

    Australian National University, Australia

    8 publications · 3.1K citations

    8

    h-index

  3. FD
    Freddy Delbaen

    ETH Zurich, Switzerland

    8 publications · 771 citations

    8

    h-index

  4. VV
    Vladimir Vovk

    Royal Holloway University of London, United Kingdom

    7 publications · 262 citations

    7

    h-index

  5. PP
    Philip Protter

    Cornell University, United States

    7 publications · 225 citations

    7

    h-index

1–5 of 765

Institutions

410

  1. University of California, Berkeley

    Berkeley, United States

    12 h-index

    18 publications

    1.2K citations

  2. Columbia University

    New York, United States

    11 h-index

    18 publications

    2.1K citations

  3. ETH Zurich

    Zurich, Switzerland

    11 h-index

    13 publications

    341 citations

  4. University of Vienna

    Vienna, Austria

    10 h-index

    12 publications

    701 citations

  5. Centre National de la Recherche Scientifique

    Paris, France

    10 h-index

    13 publications

    867 citations

  6. University of Warsaw

    Warsaw, Poland

    9 h-index

    10 publications

    189 citations

  7. University of Alberta

    Edmonton, Canada

    8 h-index

    14 publications

    3K citations

  8. École Polytechnique

    Palaiseau, France

    8 h-index

    11 publications

    1.3K citations

1–8 of 410

Venues

  1. The Annals of Probability

    49 publications · 3.6K citations

    31

    h-index

  2. Stochastic Processes and their Applications

    35 publications · 4K citations

    21

    h-index

  3. Transactions of the American Mathematical Society

    TRAN · 26 publications · 1K citations

    19

    h-index

  4. Mathematical Finance

    18 publications · 1.9K citations

    17

    h-index

  5. arXiv (Cornell University)

    Repository · 29 publications · 579 citations

    15

    h-index

1–5