Stopped Martingale is Martingale/Corollary
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Corollary
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 $\sequence {\FF_n}_{n \ge 0}$.
Let $\sequence {X_n^T}_{n \ge 0}$ be the stopped process.
Then we have:
- $\expect {X_n^T} = \expect {X_0}$ for each $n \in \Z_{\ge 0}$.
Proof
From Stopped Martingale is Martingale:
- $\sequence {X_n^T}_{n \ge 0}$ is a $\sequence {\FF_n}_{n \ge 0}$-martingale.
From Expected Value of Martingale is Constant in Time, we have:
- $\expect {X_n^T} = \expect {X_0^T}$
We have that $\map T \omega \ge 0$ for each $\omega \in \Omega$, so $0 \wedge T = 0$.
So, we have:
- $X_0^T = X_0$
and so:
- $\expect {X_0^T} = \expect {X_0}$
giving the result.
$\blacksquare$