Why are martingales important in probability and finance?

Also, as we shall point out, mutual information corresponds to the increase in the doubling rate of wealth given side information. ... random processes such as ... Next, in Section 3, we model the HVAC problem as a Partially Observable Markov Decision Process (POMDP) with environment dependency. Section 4 shows that the ... This paper describes a method for obtaining numerical information concerning the time-dependent behavior of stochastic processes such as those arising in ... Let ξ , η be two random functions (= stationary (generalized) Gaussian random processes). The Gelfand–Pinsker–Yaglom functional (Formula (2.58) from [10]) for ... Draws upon concepts from stochastic processes, queuing theory, and optimization. E. Modiano No textbook information available. 6.7460 Essential Coding Theory Feb 8, 2012 ... ... informational privacy is the high uncertainty about ... stochastic processes, which fit into the Binomial Option Pricing Model (BOPM). ... informational divergence between two Markov processes at ... Markov chains defined by a memoryless stochastic matrix correspond in fact to an iid process. Jul 6, 2021 ... Asymmetric information may stem from, e.g., the observation of different stochastic processes or partial knowledge of the structure of the game ... Feb 20, 2007 ... Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information ... ... stochastic processes, and information dynamics approaches. Our analysis revealed novel relationships between these metrics, which allowed us to build a ...