Doob , Ignatov and Optional Skipping
نویسندگان
چکیده
A general set of distribution-free conditions is described under which an i.i.d. sequence of random variables is preserved under optional skipping. 1. Introduction and motivation. This paper discusses a general set of conditions under which an i.i.d. sequence of random variables ξ 1 , ξ 2 ,. .. , taking values in a measurable space (X, B), with common distribution F , is preserved under " optional skipping, " that is, a general set of conditions on a sequence of stopping times τ
منابع مشابه
Discrete Time Stochastic Processes
4 Martingales 35 4.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 4.2 Doob Decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 4.3 Optional Sampling Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 4.4 Inequalities and Convergence . . . . . . . . . . . ...
متن کاملOptional decomposition of supermartingales and hedging contingent claims in incomplete security markets
t Vt = Vo + f H, dX~ Ct, t > O , o where H is an integrand for X, and C is an adapted increasing process. We call such a representation optional because, in contrast to the Doob-Meye r decomposition, it generally exists only with an adapted (optional) process C. We apply this decomposition to the problem of hedging European and American style contingent claims in the setting of incomplete secur...
متن کاملOn Quadratic g-Evaluations/Expectations and Related Analysis
In this paper we extend the notion of g-evaluation, in particular g-expectation, of Peng [10, 11] to the case where the generator g is allowed to have a quadratic growth. We show that some important properties of the g-expectations, including a representation theorem between the generator and the corresponding g-expectation, and consequently the reverse comparison theorem of quadratic BSDEs as ...
متن کاملP2- A Study on Academic Performance and Social Development of Students Who Do Grade-Skipping
لطفاً به چکیده انگلیسی مراجعه شود.
متن کاملOBITUARY : Joseph Leonard
Joseph Leonard Doob was born in Cincinnati, Ohio, USA on 27 February 1910. In an interview Joe gave for Statistical Science (see Snell (1997)), he said that in grammar school he built a crystal set and in high school operated a radio transmitter. This led him to think he would major in mathematical physics when he entered Harvard in 1926. However, after taking two physics courses, Doob decided ...
متن کامل