Doob's Optional Stopping Theorem for Stopped Sigma-Algebra of Bounded Stopping Time
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Theorem
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 $S$ and $T$ be bounded stopping times with respect to $\sequence {\FF_n}_{n \ge 0}$ and $S \le T$.
Let $\FF_S$ be the stopped $\sigma$-algebra associated with $S$.
Let $X_T$ and $X_S$ be $X$ at the stopping times $T$ and $S$.
Then:
- $\expect {X_T \mid \FF_S} = X_S$ almost surely.