Generalized Wald equations in discrete time

B. M. Brown

Stochastic Processes and their Applications, 1974, vol. 2, issue 4, 349-357

Abstract: Let S = {Sn, n [greater-or-equal, slanted] 1} be a martingale. Expectations of mth order quantities associated with S are related by two forms of Wald-type identity, called Generalized Wald equations. The previously known sufficient conditions for the validity of Wald equations are shown to be of a set of three equivalent conditions, each of which is necessary as well as sufficient for the validity of both types of Generalized Wald Equation.

Keywords: martingale; stopping; time; Wald; equation (search for similar items in EconPapers)
Date: 1974
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