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Doob's Optional Stopping Theorem

Hard · Stochastic Calculus · Quant Trader interview question · stochastic-calculus, martingale, stopping-time, probability, expected-value

Let $M_t$ be a martingale and $\tau$ be a stopping time. State Doob's optional stopping theorem. Under what conditions does $EM_\tau = EM_0$ hold?

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