supermartingale

noun

supermartingale

noun

Etymology From super- + martingale.

1

Mathematics, Sciences 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:

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