2001Jounal of Xidian UniversityRequires access

Stopping theorem for two-parameter martingales

Ye Ji

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Abstract

The stopping theorems for two parameter Martingales (Supermartingales) at the stopping points are studied, with the stopping theorem and the predicatable stopping theorem of Martingales (Supermartingales) obtained. On the basis of “comparability of two stopping points”, the strengthening stopping theorem and the predicatable strengthening stopping theorem are obtained.

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What this paper is about

The stopping theorems for two parameter Martingales (Supermartingales) at the stopping points are studied, with the stopping theorem and the predicatable stopping theorem of Martingales (Supermartingales) obtained. On the basis of “comparability of two stopping points”, the strengthening stopping theorem and the predicatable strengthening stopping theorem are obtained.

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Available abstract

The stopping theorems for two parameter Martingales (Supermartingales) at the stopping points are studied, with the stopping theorem and the predicatable stopping theorem of Martingales (Supermartingales) obtained. On the basis of “comparability of two stopping points”, the strengthening stopping theorem and the predicatable strengthening stopping theorem are obtained.

Key concepts: Optional stopping theorem, Stopping time, Comparability, Mathematics, Optimal stopping, Discrete mathematics, Applied mathematics, Mathematical economics

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