The Annals of Probability

The Martintote

Priscilla Greenwood

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Abstract

A martintote is a random sequence such that the asymptotic behavior of the process distribution, conditioned with respect to the past, remains the same along the sequence. In this respect the conditional distributions of a martintote behave similarly to the conditional expectations of a martingale. We give an optional sampling theorem for martintotes and a class of examples.

Article information

Source
Ann. Probab., Volume 2, Number 1 (1974), 84-89.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176996753

Digital Object Identifier
doi:10.1214/aop/1176996753

Mathematical Reviews number (MathSciNet)
MR356212

Zentralblatt MATH identifier
0275.60067

JSTOR
links.jstor.org

Subjects
Primary: 60G99: None of the above, but in this section
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
none of established catagories Random sequences asymptotics martingale stopping times optional sampling

Citation

Greenwood, Priscilla. The Martintote. Ann. Probab. 2 (1974), no. 1, 84--89. doi:10.1214/aop/1176996753. https://projecteuclid.org/euclid.aop/1176996753


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