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A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY

Published online by Cambridge University Press:  24 March 2003

DAVID WILLIAMS
DAVID WILLIAMS
Affiliation:
Department of Mathematics, University of Wales Swansea, Singleton Park, Swansea SA2 8PP dswilliams@markov.fsnet.co.uk
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Abstract

An example is given of a random time $\rho$ associated with Brownian motion such that $\rho$ is not a stopping time but ${\bf E}M_{\rho}={\bf E}M_0$ for every uniformly integrable martingale $M$.

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Type
NOTES AND PAPERS
Information
Bulletin of the London Mathematical Society , Volume 34 , Issue 5 , September 2002 , pp. 610 - 612
Copyright
© The London Mathematical Society 2002

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