Doob's Optional Stopping Theorem

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Discrete Time

Let $\struct {\Omega, \Sigma, \sequence {\FF_n}_{n \ge 0}, \Pr}$ be a filtered probability space.

Let $\sequence {X_n}_{n \ge 0}$ be an $\sequence {\FF_n}_{n \ge 0}$-martingale.

Let $T$ be a stopping time with respect to $\sequence {\FF_n}_{n \ge 0}$.


$\map {X_T} \omega = \map {X_{\map T \omega} } \omega \map {\chi_{\set {\omega \in \Omega : \map T \omega < \infty} } } \omega$

for each $\omega \in \Omega$.

Suppose one of the following conditions holds:

$(1) \quad$ $T$ is bounded
$(2) \quad$ $T$ is finite almost surely, and there exists an integrable random variable $Y$ with $\size {X_n} \le Y$ for $n \in \Z_{\ge 0}$
$(3) \quad$ $T$ is integrable, and there exists a real number $M > 0$ such that for each $n \in \Z_{\ge 0}$ we have $\size {X_{n + 1} - X_n} \le M$ almost surely.

Then $X_T$ is integrable and in particular:

$\expect {X_T} = \expect {X_0}$

Also see

Source of Name

This entry was named for Joseph Leo Doob.