Stopping a two parameter weak martingale

DOI10.1007/BF00960070MaRDI QIDQ1087223zbMATH OpenFDO

Authors Moshe Zakai, Ely Merzbach

Publication date 1987

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00960070

zbMATH Keywords

optional dual projectiontwo parameter integratorstwo parameter stochastic processweak martingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Random fields (60G60) Stochastic integrals (60H05)

Review text

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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• R�gions d'arr�t, localisations et prolongements de martingales
• Stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane

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