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.
be a sequence of i.i.d.
random variables whose moment generating function
is finite for some
defined by is a martingale known as Wald's martingale.
This probability-related article is a stub.
You can help Wikipedia by expanding it.