The Expected Value of an Everywhere Stopped Martingale
Ramakrishnan, S. ; Sudderth, W. D.
Ann. Probab., Tome 14 (1986) no. 4, p. 1075-1079 / Harvested from Project Euclid
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If the coordinate random variables $\{X_t\}$ on either $C\lbrack 0, \infty)$ or $D\lbrack 0, \infty)$ form a martingale, then for every stopping time $\tau$ which is everywhere finite, $E(X_\tau)$, if defined, equals $E(X_0)$. This version of the optional sampling theorem is not covered by Doob's classical result [1].
Publié le : 1986-07-14
Classification:  Martingale,  optional sampling,  stop rule induction,  60G44,  60G40,  60G42 
@article{1176992461,
     author = {Ramakrishnan, S. and Sudderth, W. D.},
     title = {The Expected Value of an Everywhere Stopped Martingale},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 1075-1079},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992461}
}

Ramakrishnan, S.; Sudderth, W. D. The Expected Value of an Everywhere Stopped Martingale. Ann. Probab., Tome 14 (1986) no. 4, pp.  1075-1079. http://gdmltest.u-ga.fr/item/1176992461/