Introduction to Stopping Time in Stochastic Finance Theory
We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an exam...
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| Format: | Article |
| Language: | English |
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Sciendo
2017-07-01
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| Series: | Formalized Mathematics |
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| Online Access: | https://doi.org/10.1515/forma-2017-0010 |
| Summary: | We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with stochastic processes ([4], p.283). Look at the following example: we install a function ST: {1,2,3,4} → {0, 1, 2} ∪ {+∞}, we define: |
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| ISSN: | 1426-2630 1898-9934 |