Stopping a two parameter weak martingale
Copyright policy )Stopping a two parameter weak martingale
This paper deals with the following problem: Given a two parameter stochastic process, under what conditions is it possible to stop the process at any stopping line? It is shown that the class of stoppable processes is strictly larger than the class of two parameter integrators. Sufficient conditions for a weak martingale to be stoppable are derived and the stopped r.v. is represented as a one parameter optional dual projection.
- Technion – Israel Institute of Technology Israel
- Bar-Ilan University Israel
optional dual projection, Stopping times; optimal stopping problems; gambling theory, Stochastic integrals, Random fields, two parameter integrators, two parameter stochastic process, weak martingale
optional dual projection, Stopping times; optimal stopping problems; gambling theory, Stochastic integrals, Random fields, two parameter integrators, two parameter stochastic process, weak martingale
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