Lecture

Optional Stopping Theorem: Proof and Applications

In course

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Description

This lecture covers the optional stopping theorem for martingales, providing a detailed proof and discussing its implications. The theorem is applied to square-integrable martingales and stopping times, showcasing how it ensures the equality of conditional expectations. The lecture also explores scenarios where the theorem may fail, emphasizing the importance of using proper stopping times to guarantee its validity.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_yd7fentk

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Ontological neighbourhood

Mathematics

Probability theory: Stochastic processses

Logic

Classical logic: First-order logic

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