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DictionarymartingaleFair random process
noun

martingale

A random process whose expected next value equals its current value given all past information.

Cumulative winnings from fair, fixed-stake coin bets form a martingale.

Etymology
martingaleFrenchbetting system

Probability theory borrowed the term from gambling systems called martingales. The mathematical concept formalizes a process with no expected gain from the next step given what is already known.

More examples

  • A martingale can rise or fall while its expected next value remains its current value.
  • Knowing the entire past does not improve predictions of a martingale's next change.
  • Both processes are martingales relative to the same available information.

Forms

martingale · martingales