Stopping a two parameter weak martingale |
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| Authors: | Ely Merzbach Moshe Zakai |
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| Institution: | (1) Dept. of Mathematics, Bar-Ilan University, 52100 Ramat-Gan, Israel;(2) Dept. of Electrical Engineering, Technion, Israel Inst. of Technology, 3200 Haifa, Israel |
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| Abstract: | Summary This paper deals with the following problem, given a two parameter stochastic process, under what conditions is it possible to stop the process at any stopping line? It is shown that the class of stoppable processes is strictly larger than the class of two parameter integrators. Sufficient conditions for a weak martingale to be stoppable are derived and the stopped r.v. is represented as a one parameter optional dual projection.Work partially supported by a grant from the Research Authority at Bar-Ilan UniversityWork supported by the fund for promotion of research at the Technion |
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