Optional Stopping Theorem Natural & Formal Sciences Dictionary Definition A result in martingale theory stating that, under specified integrability or boundedness conditions on a stopping time τ and a martingale (M_t), the expectation at the stopping time equals the initial expectation: E[M_τ] = E[M_0].
Optional Stopping Theorem Natural & Formal Sciences Dictionary Definition A result in martingale theory stating that, under specified integrability or boundedness conditions on a stopping time τ and a martingale (M_t), the expectation at the stopping time equals the initial expectation: E[M_τ] = E[M_0].