b***k
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cbdelver (cbdelver) 于 (Wed Jan 14 11:24:52 2009) 提到:
为什么可以用 optional sampling theorem 和Martingal Bt^2-t 来计算 E(T), T=min
{t:Bt=1 or -1},而不能用来计算 E(T'), T'=min{t: Bt=1}?
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QL365 (QL) 于 (Wed Jan 14 11:46:21 2009) 提到:
I know two sufficient conditions:
(1) The martingale is closed
(2) The stopping times are bounded.
T is bounded, T' is not.
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cbdelver (cbdelver) 于 (Wed Jan |
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