Optional Stopping Theorem: Proof and Applications

Related lectures (29)

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Covers the proof and recap of the martingale convergence theorem, focusing on the conditions for the existence of a random variable.

Explores the proof of the martingale convergence theorem and the concept of stopping time in square-integrable martingales.

Covers the proof of the martingale convergence theorem and the convergence of the martingale sequence almost surely.

Covers basic properties of conditional expectation and Jensen's inequality in probability theory.

Explores the optional stopping theorem for martingales and stepping times, emphasizing its applications and implications.

Explores sub- and supermartingales, stopping times, and their applications in stochastic processes.

Covers conditional expectation, Fubini's theorem, and their applications in probability theory.

Explores stopping times, the optional stopping theorem, F-measurable random variables, and martingales.

Covers the reflection principle and martingale writing in simple symmetric random walks.

Explores optimal transport in heat equations and metric spaces.