An optional stopping theorem for nonadapted martingales

The definition of a (discrete-time) martingale is generalized, allowing the process to be nonadapted, and it is shown that the optional stopping theorem still holds. This result was motivated by and is applied to the study of gambling systems, especially at games such as craps in which bets are not immediately resolved.

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Year of publication:	1998
Authors:	Ethier, S. N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 39.1998, 3, p. 283-288
Publisher:	Elsevier
Keywords:	Supermartingale Stopping time Gambling system Dice Craps

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259354