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Simpler conditions for Wald equations

Authors :
G. K. Eagleson
B. M. Brown
Source :
Journal of Applied Probability. 10:451-455
Publication Year :
1973
Publisher :
Cambridge University Press (CUP), 1973.

Abstract

If T is a stopping time on a martingale {St }, the mth order moments of T and ST (for integers m ≧ 2) are related by an identity known as a Wald equation of order m. Wald equations hold under certain conditions, which are simplified in this paper by showing that among the set of previously known conditions, some are implied by the others.

Details

ISSN :
14756072 and 00219002
Volume :
10
Database :
OpenAIRE
Journal :
Journal of Applied Probability
Accession number :
edsair.doi.dedup.....511fc72fa530e6d5ef24997924426087