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martingale

Defines: 
martingale, supermartingale, submartingale, reverse submartingale, reverse supermartingale
Keywords: 
martingale, supermartingale, submartingale
Type of Math Object: 
Definition
Major Section: 
Reference

Mathematics Subject Classification

60G46 no label found60G44 no label found60G42 no label found

Comments

I just noticed the term "martingale" used in its original french meaning in an article about Jerome Kerviel, the trader who lost billions of euros. (http://business.timesonline.co.uk/tol/business/industry_sectors/banking_...) It's a gambling strategy, apparently named after the "eccentric" inhabitants of Martigues, and the mathematical term comes from this.

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