Meaning of supermartingale | Babel Free

Definitions

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.

Examples

“If a gambler repeatedly plays a game with negative expectation, his payoff over time is a supermartingale.”

“With these assumptions, something amazing occurs: Euler inequality (1.3.3) implies that the marginal utility of consumption is a nonnegative supermartingale. [emphasis in original]”

CEFR level