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Stopping non-commutative processes

Published online by Cambridge University Press:  24 October 2008

Chris Barnett  and
Terry Lyons
Chris Barnett
Affiliation:
Department of Mathematics, Imperial College, London SW7
Terry Lyons
Affiliation:
Department of Mathematics, Imperial College, London SW7
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Extract

Stopping times are a powerful tool in the theory of stochastic processes, so it is natural to ask whether they have a counterpart in the theory of non-commutative processes. This paper is a part answer to that question. We show that the ‘formalism’ of stopping times carries over to a non-commutative context and prove an Optional Stopping Theorem.

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 99 , Issue 1 , January 1986 , pp. 151 - 161
Copyright
Copyright © Cambridge Philosophical Society 1986

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References

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