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Doob by zahiruddin is a document available to read on EtoBox.
This document summarizes a lecture on martingales and the optional stopping theorem. It defines martingales as sequences of random variables where the expected future value is equal to the present value. It introduces stopping times as rules for when to stop a stochastic process based only on past information. The optional stopping theorem states that for bounded martingales, the expected value at a stopping time is equal to the initial value. The lecture provides examples of martingales and stopping times
- Author
- zahiruddin
- Language
- EN