Optional sampling and why stopping matters
Research context
postgraduate concept · established · As of 2026-10-10
For a martingale and bounded stopping times S≤T, E[M-T|F-S]=M-S.
Key knowledge
For a martingale and bounded stopping times S≤T, E[M-T|F-S]=M-S. Unbounded times require additional conditions such as uniform integrability of the stopped process; almost-sure finiteness alone is insufficient. A fair random walk stopped on first hitting a distant target can invalidate an unsupported interchange of time limit and expectation, so the theorem does not justify a risk-free gambling strategy.
Values and equations
E[M_T|F_S]=M_S, S≤T bounded
- S,T
- Bounded stopping times
- M
- Discrete integrable martingale
- F_S
- Information available at the stopping time S
Conditions and scope
- S and T are stopping times: the decision to stop by n is measurable in F-n.
- The displayed equality here is for bounded discrete stopping times; unbounded extensions require their own verified hypotheses.
Sources · 2
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Sébastien Roch / University of Wisconsin–Madison2 sources
Evidence and review
Author checked this English statement, displayed equation where present and stated hypotheses against these source locations: PDF headed Lecture 13: Theorems 13.3 and 13.8, stopping-time sigma-algebras and random-walk application; Theorem 5.3, Corollary 5.4 and failure of L1 convergence Example 5.6. The check is bounded to the recorded claims; no complete proof reconstruction, software proof replay or universal literature completeness is claimed.
2026-10-10 · Author source-body/statement/equation/domain check, with graph associations scoped individually. Separate independent content/source/inventory review is required before branch closure.
Entry details
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