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Simpler conditions for Wald equations
Published online by Cambridge University Press: 14 July 2016
Abstract
If T is a stopping time on a martingale {St}, the mth order moments of T and ST (for integers m ≧ 2) are related by an identity known as a Wald equation of order m. Wald equations hold under certain conditions, which are simplified in this paper by showing that among the set of previously known conditions, some are implied by the others.
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- Copyright © Applied Probability Trust 1973
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