An optional stopping theorem for nonadapted martingales

S. N. Ethier

Statistics & Probability Letters, 1998, vol. 39, issue 3, 283-288

Abstract: The definition of a (discrete-time) martingale is generalized, allowing the process to be nonadapted, and it is shown that the optional stopping theorem still holds. This result was motivated by and is applied to the study of gambling systems, especially at games such as craps in which bets are not immediately resolved.

Keywords: Supermartingale; Stopping; time; Gambling; system; Dice; Craps (search for similar items in EconPapers)
Date: 1998
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