Stopping theorem for two-parameter martingales
Ye Ji
Abstract
Ye Ji
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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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