Stopping a two parameter weak martingale

Ely Merzbach, Moshe Zakai

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


This paper deals with the following problem, given a two parameter stochastic process, under what conditions is it possible to stop the process at any stopping line? It is shown that the class of stoppable processes is strictly larger than the class of two parameter integrators. Sufficient conditions for a weak martingale to be stoppable are derived and the stopped r.v. is represented as a one parameter optional dual projection.

Original languageEnglish
Pages (from-to)499-507
Number of pages9
JournalProbability Theory and Related Fields
Issue number4
StatePublished - Dec 1987


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