An optional stopping theorem for nonadapted martingales (Q1273037): Difference between revisions
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Revision as of 07:26, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optional stopping theorem for nonadapted martingales |
scientific article |
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An optional stopping theorem for nonadapted martingales (English)
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2 March 1999
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Allowing the process to be nonadapted, the author generalizes the definition of a discrete time martingale and after that he shows that the optional stopping theorem still holds. This result is motivated by and applied to the study of gambling systems, especially at games such as craps in which bets are not immediately resolved.
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supermartingale
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stopping time
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gambling system
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dice
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craps
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