An optional stopping theorem for nonadapted martingales (Q1273037)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An optional stopping theorem for nonadapted martingales |
scientific article |
Statements
An optional stopping theorem for nonadapted martingales (English)
0 references
2 March 1999
0 references
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.
0 references
supermartingale
0 references
stopping time
0 references
gambling system
0 references
dice
0 references
craps
0 references