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Stopped Process is also R.C. Martingale

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Definition
StochasticDiffs

Let (Xt)t≄0(X_{t})_{t\ge 0} be a right continuous (Ft)t≄0(\mathcal{F}_{t})_{t\ge 0}-martingale and let TT be a (Ft)t≄0(\mathcal{F}_{t})_{t\ge 0}-stopping time. Then XT=(XtT)t≄0=(XT∧t)t≄0X^{T}=(X_{t}^{T})_{t\ge 0}=(X_{T\wedge t})_{t\ge 0} is a right continuous (Ft)(\mathcal{F}_{t})-martingale.

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