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  • Search: subject:"Optional stopping theorem"
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Doob’s optional stopping theorem 1 Gambling team technique 1 Generating functions 1 Last hitting time 1 Martingale 1 Martingales 1 Optional stopping theorem 1 Stopping times 1 Submartingale of class (Σ) 1 σ-finite measure 1
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Article 2
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Undetermined 2
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Najnudel, Joseph 1 Nikeghbali, Ashkan 1 Zajkowski, Krzysztof 1
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Statistics & Probability Letters 1 Stochastic Processes and their Applications 1
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RePEc 2
Showing 1 - 2 of 2
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A note on the gambling team method
Zajkowski, Krzysztof - In: Statistics & Probability Letters 85 (2014) C, pp. 45-50
Gerber and Li (1981) formulated, using a Markov chain embedding, a system of equations that describes relations between generating functions of waiting time distributions for occurrences of patterns in a sequence of independent repeated experiments when the initial outcomes of the process are...
Persistent link: https://www.econbiz.de/10010743575
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On some universal σ-finite measures related to a remarkable class of submartingales
Najnudel, Joseph; Nikeghbali, Ashkan - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1582-1600
generalization can be considered as an extension of Doob’s optional stopping theorem. …
Persistent link: https://www.econbiz.de/10011065066
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