PlanetMath (more info)
 Math for the people, by the people. Sponsor PlanetMath
Encyclopedia | Requests | Forums | Docs | Wiki | Random | RSS  
Login
create new user
name:
pass:
forget your password?
Main Menu
Owner confidence rating: High Entry average rating: No information on entry rating
[parent] stopping time (Definition)

Some general preliminary considerations

Let $(\Omega,\mu)$ be a bounded measure space and $\EuScript{F}(\Omega)$ be a linear function space of bounded functions defined on $\Omega$ i.e. $\EuScript{F}(\Omega)\subset\EuScript{L}^\infty(\Omega)$ We would like to note two types of functionals from the dual space $\DSp$ which will be used here:
  1. Each function $g(x)\in\EuScript{L}^1(\Omega)$ defines a functional $\varphi\in\DSp$ in the following way: $$ \varphi(f)=\int\limits_{\Omega} g(x)\,f(x)\,d\mu. $$ Such functional we will call regular functional and function $g$ -- its generator.
  2. For each $x\in\Omega$ we will consider a functional $\delta_x\in\DSp$ defined as follows: \begin{equation}\label{dFn} \delta_x(f)=f(x). \end{equation} Since generally, we can not speak about values at the point for functions from $\EuScript(L)^\infty$ in the following, we assume some regularity for functions from considered spaces, so that ([*]) is correctly defined.

Necessary notations and motivation

Let $(\Omega_x,\mu_x),\,(\Omega_y,\mu_y)$ be some bounded measure spaces; $\FOx,\GOy$ be some linear function spaces. Let $A:\FOx\rightarrow\GOy$ be a linear operator which has a well-defined inverse $A^{-1}:\GOy\rightarrow\FOx$

Consider an operator equation: \begin{equation}\label{OpEq} Af=g \end{equation}where $f\in\FOx$ is unknown and $g\in\GOy$ is given. We are interested to have an integral representation for solution of ([*]). For this purpose we write: $$ f(x)=\delta_x(f)=\delta_x(A^{-1}(g))=[\, (A^{-1})^*\delta_x \,](g). $$

Definition of Green's function

If $\forall x\in\Omega_x$ the functional $(A^{-1})^*\delta_x$ is regular with generator $G(\cdot,y)\in\EuScript{L}^1(\Omega_y)$ then $G$ is called <</SPAN>#57#>Green's function of operator $A$ and solution of ([*]) admits the following integral representation: $$ f(x)=\int\limits_{\Omega_y}G(x,y)\,g(y)\,d\mu_y $$




"stopping time" is owned by gel. [ full author list (2) | owner history (1) ]
(view preamble | get metadata)

View style:

See Also: Doob's optional sampling theorem, predictable stopping time


This object's parent.

Attachments:
predictable stopping time (Definition) by gel
stopped process (Definition) by gel
local properties of processes (Definition) by gel
$\sigma$-algebra at a stopping time (Definition) by gel
measurability of stopped processes (Theorem) by gel
hitting times are stopping times (Theorem) by gel
Log in to rate this entry.
(view current ratings)

Cross-references: number, machine, information, current, range, adapted process, natural filtration, stochastic process, unions, closed under, uncountable, real numbers, continuous, discrete, outcome, collection, variable, index set, event, filtration, random variable
There are 24 references to this entry.

This is version 8 of stopping time, born on 2004-10-04, modified 2008-12-17.
Object id is 6294, canonical name is StoppingTime.
Accessed 8534 times total.

Classification:
AMS MSC60G40 (Probability theory and stochastic processes :: Stochastic processes :: Stopping times; optimal stopping problems; gambling theory)
 60K05 (Probability theory and stochastic processes :: Special processes :: Renewal theory)

Pending Errata and Addenda
None.
[ View all 2 ]
Discussion
Style: Expand: Order:
forum policy

No messages.

Interact
post | correct | update request | add derivation | add example | add (any)