Stopping a two parameter weak martingale (Q1087223)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stopping a two parameter weak martingale |
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Stopping a two parameter weak martingale (English)
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1987
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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.
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two parameter stochastic process
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two parameter integrators
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weak martingale
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optional dual projection
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