fixed bugs
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1 changed files with 5 additions and 5 deletions
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@ -222,7 +222,7 @@ we need the following theorem, which we won't prove here:
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It is also clear that $X^T_n$ is integrable since
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It is also clear that $X^T_n$ is integrable since
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\[
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\[
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\bE[|X^T_n|] \le \sum_{k=1}^{n} \bE[|X_k|] < \infty.
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\bE[|X^T_n|] \le \sum_{k=1}^{n} \bE[|X_k|] < \infty.
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\]
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\]
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We have
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We have
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\begin{IEEEeqnarray*}{rCl}
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\begin{IEEEeqnarray*}{rCl}
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@ -246,7 +246,7 @@ we need the following theorem, which we won't prove here:
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we get from the above that
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we get from the above that
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\[
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\[
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\bE[X_T] \overset{n \ge M}{=} \bE[X^T_n] \begin{cases}
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\bE[X_T] \overset{n \ge M}{=} \bE[X^T_n] \begin{cases}
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\le \bE[X_0] & \text{ supermartingale},
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\le \bE[X_0] & \text{ supermartingale},\\
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= \bE[X_0] & \text{ martingale}.
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= \bE[X_0] & \text{ martingale}.
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\end{cases}
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\end{cases}
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\]
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\]
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@ -259,7 +259,7 @@ we need the following theorem, which we won't prove here:
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Then $\bP[T < \infty] = 1$, but
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Then $\bP[T < \infty] = 1$, but
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\[
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\[
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1 = \bE[S_T] \neq \bE[S_0] = 0.
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1 = \bE[S_T] \neq \bE[S_0] = 0.
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\]
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\]
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\end{example}
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\end{example}
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\begin{theorem}[Optional Stopping]
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\begin{theorem}[Optional Stopping]
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@ -269,7 +269,7 @@ we need the following theorem, which we won't prove here:
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taking values in $\N$.
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taking values in $\N$.
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If one of the following holds
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If one of the following holds
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\begin{itemize}[(i)]
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\begin{enumerate}[(i)]
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\item $T \le M$ is bounded,
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\item $T \le M$ is bounded,
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\item $(X_n)_n$ is uniformly bounded
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\item $(X_n)_n$ is uniformly bounded
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and $T < \infty$ a.s.,
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and $T < \infty$ a.s.,
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@ -277,7 +277,7 @@ we need the following theorem, which we won't prove here:
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and $|X_n(\omega) - X_{n-1}(\omega)| \le K$
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and $|X_n(\omega) - X_{n-1}(\omega)| \le K$
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for all $n \in \N, \omega \in \Omega$ and
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for all $n \in \N, \omega \in \Omega$ and
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some $K > 0$,
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some $K > 0$,
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\end{itemize}
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\end{enumerate}
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then $\bE[X_T] \le \bE[X_0]$.
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then $\bE[X_T] \le \bE[X_0]$.
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If $(X_n)_n$ even is a martingale, then
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If $(X_n)_n$ even is a martingale, then
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