Generalization of Doob's optional sampling theorem for deformed submartingales

DOI10.1070/RM2013v068n06ABEH004874zbMath1326.60054OpenAlexW1980377631MaRDI QIDQ5410966

I. V. Pavlov, O. V. Nazarko

Publication date: 17 April 2014

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2013v068n06abeh004874

zbMATH Keywords

stopping timesdeformed submartingalesDoob's optional sampling theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)

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