Martingale properties of an information-feedback loop

DOI10.1016/0895-7177(88)90116-1MaRDI QIDQ1104651zbMATH OpenOpenAlexFDO

Authors R. Kleyle, André de Korvin

Publication date 1988

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(88)90116-1

zbMATH Keywords

Estimated average utility scoresinformation feedback loopinformation systemsuniformly integrable martingale sequences

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Statistical aspects of information-theoretic topics (62B10) Information theory (general) (94A15)

Review text

This paper extends some of the previous authors' results to the case in which the data generated by the information feedback loop is numerical rather than categorical. Estimated average utility scores associated with each possible course of action are shown to be uniformly integrable martingale sequences. Strong convergence properties of these sequences are demonstrated.

Recommendations

• Goal uncertainty and the supermartingale property in an information feedback loop
• Martingale property of empirical processes
• Martingale generalizations and preservation of martingale properties
• Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains.
• scientific article; zbMATH DE number 4197052

Cites work

• Abstract martingale convergence theorems
• Decision making mechanisms and stopping times in a generalized information system
• Existence of Competitive Equilibria in Markets with a Continuum of Traders
• Goal uncertainity in a generalized information system: convergence properties of the estimated expected utilities^∗
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3326230 (Why is no real title available?)
• scientific article; zbMATH DE number 3335699 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Martingale Convergence and the Radon-Nikodym Theorem in Banach Spaces.
• Martingales à valeurs vectorielles. Applications à la dérivation des mesures vectorielles
• SWITCHING MECHANISMS IN A GENERALIZED INFORMATION SYSTEM
• Weak Convergence of Set-Valued Functions and Control

Cited in

(2)

• An application of martingales in the limit to a problem in information science
• Goal uncertainty and the supermartingale property in an information feedback loop

This page was built for publication: Martingale properties of an information-feedback loop

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1104651)