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Non-stopping times and stopping theorems


Nikeghbali, A (2007). Non-stopping times and stopping theorems. Stochastic Processes and their Applications, 117(4):457-475.

Abstract

Given a random time, we give some characterizations of the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some families of martingales with remarkable properties.

Abstract

Given a random time, we give some characterizations of the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some families of martingales with remarkable properties.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2007
Deposited On:02 Nov 2009 12:29
Last Modified:23 Nov 2018 18:51
Publisher:Elsevier
ISSN:0304-4149
OA Status:Green
Publisher DOI:https://doi.org/10.1016/j.spa.2006.06.005
Related URLs:http://arxiv.org/abs/math/0505316
http://www.ams.org/mathscinet-getitem?mr=2305381

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Content: Accepted Version
Filetype: PDF (Accepted manuscript, Version 1)
Size: 307kB