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A probabilistic “New Principle” of the 19th century

1994, Archive for History of Exact Sciences

Abstract

We discuss the evolution of an idea which contains, within the setting of an urn model, the notion of a martingale. The idea is to be found in PO~SSON (1837) but its main proponent is CATALAN in a series of papers beginning in 1841, in partial ignorance of PoIssoN's work. The usual BAYESIAN coloration is present. A letter from BIENAYMt~ of 1878, possibly his last, to CATALAN elucidates the origin of the idea, and illustrates the personal relations of French probabilists at the time.