Research and Innovation Articles
Published 2009-11-05
Keywords
- Esperanza condicional,
- Martingalas discretas,
- Ley cero-uno de Kolmogorov,
- Ley de los grandes números,
- Convergencia de series
- Fluctuación de Bernoulli,
- Teorema de Radon-Nikodym,
- Función lipschitziana,
- Sistema de funciones de Haar ...More
How to Cite
Marmolejo, M. A., & Valencia, Édgar A. (2009). Martingalas discretas. Aplicaciones. Revista Integración, Temas De matemáticas, 27(2), 135–171. Retrieved from https://revistas.uis.edu.co/index.php/revistaintegracion/article/view/747
Abstract
Debido a su amplio rango de aplicaciones, la teoría de las martingalas es parte fundamental de la probabilidad. En este artículo se presentan las nociones básicas de las martingalas discretas y se recopilan algunas de sus aplicaciones en probabilidad y análisis, dando idea de los diferentes contextos donde se usan.
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References
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2] Evans S. N.; Lidman T. (2007). “Expectation, Conditional Expectation and Martingales in Local Fields”, Electronic Journal of Probability, vol. 12, No. 17, pg. 498-515,ISSN 1083-6489.
[3] Brislaw C. (1991). “Traceable Integral Kernels on Countably Generated Measure Spaces”, Pacific Journal of Mathematics, vol 15, No. 2, pg. 229-240, ISSN 0030-8730.
[4] Yeh J. (1995). Martingales and Stochastic Analysis, World Scientific Publishing Co. Pte. Ltd., Singapore, ISBN 981022477X.
[5] Karatzas I. ; Shreve S. E. (1991) Brownian Motion and Stochastic Calculus, Second Edition. Springer-Verlag New York Inc., ISBN 0-387-97655-8.
[6] Revuz D. ; York M. (1994). Continuos Martingales and Brownian Motion, SpringerVerlag Berlin, ISBN 3-540-57662-3.
[7] Shreve S. E. (2004). Stochastic Calculus for Finance II. Continuous-Time Models , Springer Science+Business Media, Inc., ISBN 0-387-40101-6.
[8] Oksendal B. (1998). Stochastic Differential Equations. An Introduction with Applications, Fifth Edition. Springer-Verlag, ISBN 3-540-63720-6.
[9] Venegas-Martínez F. (2006). Riesgos Financieros y Económicos. Productos derivados y decisiones económicas bajo incertidumbre, Thomson, México, ISBN 970-686- 574-8.
[10] Williams D. (1997). Probability with Martingales, Cambridge University Press, Cambridge, ISBN 0 521 40605 6 paperback.
[11] Shiryaev A.N. (1996). Probability, Secod Edition. Springer, New York Inc., ISBN 0-387-94549-0.
[12] Ash R.B.; Doléans-Dade C.A. (2000). Probability and Measure Theory, Second EditionAcademic Press, San Diego, ISBN 0-12-065202-1.
[13] Bauer H. (1996). Probability Theory, Walter de Guyter, New York, ISNB 0-03- 081621-1.
[15] Romano J.P.; Siegel A.F. (1986). Counterexamples in Probability and Statistics, Wadsworth & Brooks/Cole, Belmont, ISBN 0534-05568-0.
[16] Lamperti J. W. (1996). Probability. A Survey of the Mathematical Theory, Second Edition, John Wiley and Sons, Inc., New York, ISBN 0-471-15407-5.