Hostname: page-component-77c89778f8-m42fx Total loading time: 0 Render date: 2024-07-20T21:49:43.643Z Has data issue: false hasContentIssue false
  • English
  • Français

A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY

Published online by Cambridge University Press:  24 March 2003

DAVID WILLIAMS
DAVID WILLIAMS
Affiliation:
Department of Mathematics, University of Wales Swansea, Singleton Park, Swansea SA2 8PP dswilliams@markov.fsnet.co.uk
Get access

Abstract

An example is given of a random time $\rho$ associated with Brownian motion such that $\rho$ is not a stopping time but ${\bf E}M_{\rho}={\bf E}M_0$ for every uniformly integrable martingale $M$ .

Type
NOTES AND PAPERS
Information
Bulletin of the London Mathematical Society , Volume 34 , Issue 5 , September 2002 , pp. 610 - 612
Copyright
© The London Mathematical Society 2002

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)