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Optional sampling theorem for a supermartingale
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Mathematics
Area of mathematics
Probability and statistics
Probability theory
Martingale
Stopping time
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For bounded stopping times
σ
≤
τ
, a supermartingale satisfies
E
[
V
τ
∣
F
σ
]
≤
V
σ
; equality holds for a martingale.
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Stopping time
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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