What is a 'Martingale'?
What is a 'Martingale'?
Approach: Define a sequence of random variables where the future expectation is the current value.
A model of a fair game where the conditional expectation of the next value, given all prior values, is equal to the current value: E[X_{n+1} | X_1, ..., X_n] = X_n.
Follow-up: What is a sub-martingale?
Key concepts: fair game, conditional expectation.