CRITICAL STOPPING TIMES AND SEMIMARTINGALESOF STOCHASTIC PROCESSES

1994 ◽  
Vol 14 (2) ◽  
pp. 167-173
Author(s):  
Bijin Hu
Keyword(s):  
Stochastic Processes ◽  
Stopping Times

Optimal Stopping Under General Dependence Conditions

1983 ◽  
Vol 26 (3) ◽  
pp. 260-266
Author(s):  
M. Longnecker
Keyword(s):  
Time Series ◽  
Stochastic Processes ◽  
Optimal Stopping ◽  
Stopping Time ◽  
Random Variables ◽  
Stopping Times ◽  
Dependence Conditions ◽  
Series Type

AbstractLet {Xn} be a sequence of random variables, not necessarily independent or identically distributed, put and Mn =max0≤k≤n|Sk|. Effective bounds on in terms of assumed bounds on , are used to identify conditions under which an extended-valued stopping time τ exists. That is these inequalities are used to guarantee the existence of the stopping time τ such that E(ST/aτ) = supt ∈ T∞ E(|Sτ|/at), where T∞ denotes the class of randomized extended-valued stopping times based on S1, S2, … and {an} is a sequence of constants. Specific applications to stochastic processes of the time series type are considered.

Hájek–Inagaki representation theorem, under a general stochastic processes framework, based on stopping times

2008 ◽  
Vol 78 (15) ◽  
pp. 2503-2510 ◽  
Author(s):  
George G. Roussas ◽  
Debasis Bhattacharya
Keyword(s):  
Stochastic Processes ◽  
Representation Theorem ◽  
Stopping Times ◽  
General Stochastic

Stopping non-commutative processes

1986 ◽  
Vol 99 (1) ◽  
pp. 151-161 ◽  
Author(s):  
Chris Barnett ◽  
Terry Lyons
Keyword(s):  
Stochastic Processes ◽  
Stopping Times ◽  
Optional Stopping

Stopping times are a powerful tool in the theory of stochastic processes, so it is natural to ask whether they have a counterpart in the theory of non-commutative processes. This paper is a part answer to that question. We show that the ‘formalism’ of stopping times carries over to a non-commutative context and prove an Optional Stopping Theorem.

Filtrations, Stopping Times and Stochastic Processes

2015 ◽  
pp. 73-87
Author(s):  
Samuel N. Cohen ◽  
Robert J. Elliott
Keyword(s):  
Stochastic Processes ◽  
Stopping Times

Statistical Analysis of Stochastic Processes in Time

2004 ◽  
Author(s):  
J. K. Lindsey
Keyword(s):  
Statistical Analysis ◽  
Stochastic Processes

Stochastic Processes in Demography and Applications

1992 ◽  
Vol 46 (1) ◽  
pp. 172-173
Author(s):  
S. Mitra
Keyword(s):  
Stochastic Processes
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