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CHAPTER 2
Optional sampling
by Jan van Neerven
1. Optional sampling: discrete time
In this section we discuss the optional sampling theorem for discrete supermartingales.
Throughout, we let be a fixed probability space.
1.1. Stopping times. Let us fix a filtration , where .
DEFIN ITION 2.1. A stopping time is a random variable with the
pr operty that for all .
For , , we have . Clearly this implies
that
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