On simple representations of stopping times and stopping time sigma-algebras

DOI10.1016/J.SPL.2012.09.024zbMATH Open1260.60075arXiv1112.2537OpenAlexW1515371773WikidataQ29027432 ScholiaQ29027432MaRDI QIDQ1933751FDOQ1933751

Tom Fischer

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We show how minimal elements of a stopping time $sigma$-algebra can be expressed in terms of the minimal elements of the $sigma$-algebra of the underlying filtration. This facilitates an intuitive interpretation of stopping time $sigma$-algebras. An example is provided.

Full work available at URL: https://arxiv.org/abs/1112.1603

zbMATH Keywords

stopping timehitting time[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=d%EF%BF%BD%EF%BF%BDbut+theorem&go=Go d��but theorem]stopped sigma-algebrastopping time sigma-algebra

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probability theory (educational aspects) (97K50) Distributions and stochastic processes (educational aspects) (97K60)

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