submartingale
English
editEtymology
editsub- + martingale
Noun
editsubmartingale (plural submartingales)
- (mathematics) A stochastic process for which the conditional expectation of future values given the sequence of all prior values is superior or equal to its current value.
- If a gambler repeatedly plays a game with positive expectation, his payoff over time is a submartingale.
Usage notes
edit- A submartingale is a martingale if and only if it is a submartingale and also a supermartingale.