Doob's Optional Stopping Theorem - Quant Trader Interview Question
Difficulty: Hard
Category: Stochastic Calculus
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: stochastic-calculus, martingale, stopping-time, probability, expected-value
Problem Description
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?
Practice this hard trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.