stopping time
Let be a filtration (http://planetmath.org/FiltrationOfSigmaAlgebras) on a set .
A random variable taking values in is a stopping time for the filtration if the event for every .
Remarks
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The set is the index set for the time variable , and the -algebra is the collection of all events which are observable up to and including time . Then, the condition that is a stopping time means that the outcome of the event is known at time .
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In discrete time situations, where , the condition that is equivalent to requiring that . This is not true for continuous time cases where is an interval of the real numbers and hence uncountable, due to the fact that -algebras are not in general closed under taking uncountable unions of events.
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A random time is a stopping time for a stochastic process if it is a stopping time for the natural filtration of . That is, .
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The first time that an adapted process hits a given value or set of values is a stopping time. The inclusion of into the range of is to cover the case where never hits the given values.
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Stopping time is often used in gambling, when a gambler stops the betting process when he reaches a certain goal. The time it takes to reach this goal is generally not a deterministic one. Rather, it is a random variable depending on the current result of the bet, as well as the combined information from all previous bets.
Examples. A gambler has $1,000 and plays the slot machine at $1 per play.
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The gambler stops playing when his capital is depleted. The number of plays that it takes the gambler to stop is a stopping time.
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The gambler stops playing when his capital reaches $2,000. The number of plays that it takes the gambler to stop is a stopping time.
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The gambler stops playing when his capital either reaches $2,000, or is depleted, which ever comes first. The number of plays that it takes the gambler to stop is a stopping time.
Title | stopping time |
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Canonical name | StoppingTime |
Date of creation | 2013-03-22 14:41:13 |
Last modified on | 2013-03-22 14:41:13 |
Owner | gel (22282) |
Last modified by | gel (22282) |
Numerical id | 11 |
Author | gel (22282) |
Entry type | Definition |
Classification | msc 60K05 |
Classification | msc 60G40 |
Related topic | DoobsOptionalSamplingTheorem |
Related topic | PredictableStoppingTime |