Martingale
Martingala
- Date
- c. 1934 · confidence medium
- Place
- Paris, France
- Credited to
- Paul Pierre Lévy
- Field
- Knowledge & symbols
What was discovered
French mathematician Paul Lévy introduced around 1934, in Paris, the condition defining martingales — processes where the expected value of the next step, given the past, equals the current value — formalized and named shortly after by Jean Ville in his 1939 thesis.
What it led to
- Modern stochastic process theory
- Stochastic calculus and financial derivatives pricing
- Probabilistic foundations of fair-game theory