Q***5
发帖数: 994 | 1 For any stopping time \tau in formula one (the one with inner "max"), let
\tau2 = \tau (on S(\tau)>=K) and = \infty (on S(\tau)
You can prove that: \tau2 is a stopping time and when apply \tau_2 to
formula two, you get the same value as when you apply \tau to formula one. |
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