Optional stopping theorem
Teorema de la parada opcional
- Date
- c. 1953 · confidence low
- Place
- Urbana, Illinois, United States
- Credited to
- Joseph Leo Doob
- Field
- Knowledge & symbols
What was discovered
A probability theorem stating that, under certain conditions, the expected value of a martingale at a stopping time equals its initial expected value; formalizes the idea that a fair game cannot be systematically beaten by stopping based on available information; developed by Joseph Leo Doob.
What it led to
- Fundamental tool in probability and mathematical finance
- Used in option pricing and stochastic control
- Basis for other martingale-related results