supermartingale

English

Etymology

super- +‎ martingale

Noun

supermartingale (plural supermartingales)

  1. (mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is bounded above by the current value.
    If a gambler repeatedly plays a game with negative expectation, his payoff over time is a supermartingale.

Usage notes

A supermartingale is a martingale if and only if it is also a submartingale.

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