Beyond Wald's Equation and the Optional Sampling Theorem

arXiv (Cornell University) 2026 Preprint Open access

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Authors: Michael J. Klass, Victor H. de la Pena
Cited by: 0

Abstract

This paper establishes a conservation identity for mean-zero martingales stopped by extended-valued stopping times. For any mean-zero martingale $\{M_n\}$ and any extended-valued stopping time $T$ satisfying $E|M_T|I(T

Fields of Study & Subjects

Probability and Statistical Research Stochastic processes and financial applications Probability and Risk Models

Publication details

Journal / source
arXiv (Cornell University)
Publication date
23 January 2026
Document type
Preprint