In probability theory, Wald's martingale is the name sometimes given to a martingale used to study sums of i.i.d. random variables. It is named after the mathematician Abraham Wald, who used these ideas in a series of influential publications.[1][2][3]
Wald's martingale can be seen as discrete-time equivalent of the Doléans-Dade exponential.
- ^ Wald, Abraham (1944). "On cumulative sums of random variables". Ann. Math. Stat. 15 (3): 283–296. doi:10.1214/aoms/1177731235.
- ^ Wald, Abraham (1945). "Sequential tests of statistical hypotheses". Ann. Math. Stat. 16 (2): 117–186. doi:10.1214/aoms/1177731118.
- ^ Wald, Abraham (1945). Sequential analysis (1st ed.). John Wiley and Sons.