supermartingale
supermartingale noun: 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.
Noun
supermartingale (plural supermartingales)
- 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.
- 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]2018, Lars Ljungqvist and Thomas J. Sargent, Recursive macroeconomic theory, 4th edition, MIT Press, page 6
Forms of supermartingale
| plural | supermartingales |
|---|
Origin of supermartingale
From super- + martingale.
Questions about supermartingale
- What does supermartingale mean?
- Supermartingale means 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.
- What part of speech is supermartingale?
- Supermartingale is a noun.
- What is the plural of supermartingale?
- The plural of supermartingale is supermartingales.
Words near supermartingale in the dictionary
Source and license
Adapted from Wiktionary: supermartingale (page history and authors). Text available under the Creative Commons Attribution-ShareAlike 4.0 license. Word.ws reformatted the entry and added links. Wiktionary data of 2026-09-02.
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