Martingales: Recent Developments, Results and Applications

Abstract

Summary The purpose of the paper, which was prepared for the Forum Lectures at 13th European Meeting of Statisticians (8-12 September 1980, Brighton, England), is to give a survey of that part of the theory of stochastic processes which is related to the notions of martingales and associated notions. The first part pertains to those results which are related to 'internal' development of the theory. The purpose of the second part is to illustrate the possibilities of using martingale notions and martingale methods for the solution of some problems.