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A ‘Non‐Stopping’ Time with the Optional‐Stopping Property
Author(s) -
Williams David
Publication year - 2002
Publication title -
bulletin of the london mathematical society
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.396
H-Index - 48
eISSN - 1469-2120
pISSN - 0024-6093
DOI - 10.1112/s0024609302001303
Subject(s) - stopping time , mathematics , martingale (probability theory) , brownian motion , optimal stopping , optional stopping theorem , mathematics subject classification , property (philosophy) , pure mathematics , statistics , philosophy , epistemology
An example is given of a random time ρ associated with Brownian motion such that ρ is not a stopping time but E M ρ =E M 0 for every uniformly integrable martingale M . 2000 Mathematics Subject Classification 60G40, 60G44.