Concepedia

Optional Sampling Theorem

The Optional Sampling Theorem is a fundamental result in stochastic process theory that establishes conditions under which the expected value of a stopped martingale at a bounded stopping time equals the initial expected value, thereby preserving the martingale property under optional sampling.

17

Publications

717

Citations

23

Authors

20

Institutions

Publications per year

2017–2026

0

Variants

Doob's Optional Sampling Theorem

Parents

Publications

17

Discrete Gambling and Stochastic Games.

Stephen M. Samuels, A. Maitra, William D. Sudderth · Journal of the American Statistical Association · 1997 · 142 citations

, , +17

Martingale Approach to Pricing Perpetual American Options

Hans U. Gerber, Elias S. W. Shiu · Astin Bulletin · 1994 · 115 citations · Full text

, , +15

MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS

Hans U. Gerber, Hlias S. W. Shiu · Mathematical Finance · 1996 · 83 citations

, , +15

On the differentiation of heat semigroups and poisson integrals

Anton Thalmaier · Stochastics and stochastics reports · 1997 · 61 citations · Full text

, , +15

The Optional Sampling Theorem for Martingales Indexed by Directed Sets

Thomas G. Kurtz · The Annals of Probability · 1980 · 54 citations · Full text

, , +11

1–5 of 17

Authors

23

  1. HU
    Hans U. Gerber

    University of Lausanne, Switzerland

    3 publications · 212 citations

    3

    h-index

  2. SZ
    Sergei Zuyev

    University of Strathclyde, United Kingdom

    2 publications · 61 citations

    2

    h-index

  3. AT
    Anton Thalmaier

    University of Luxembourg, Luxembourg

    2 publications · 77 citations

    2

    h-index

  4. JM
    Jin Ma

    The University of Sydney, Australia

    1 publications · 44 citations

    1

    h-index

  5. HS
    Hlias S. W. Shiu

    University of Lausanne, Switzerland

    1 publications · 83 citations

    1

    h-index

1–5 of 23

Institutions

20

  1. University of Lausanne

    Lausanne, Switzerland

    2 h-index

    3 publications

    281 citations

  2. University of Luxembourg

    Luxembourg, Luxembourg

    2 h-index

    3 publications

    93 citations

  3. Columbia University

    New York, United States

    2 h-index

    3 publications

    313 citations

  4. University of Strathclyde

    Glasgow, United Kingdom

    2 h-index

    2 publications

    61 citations

  5. University of Southern California

    Los Angeles, United States

    1 h-index

    1 publications

    44 citations

  6. University of Michigan

    Ann Arbor, United States

    1 h-index

    1 publications

    44 citations

  7. Université de Poitiers

    Poitiers, France

    1 h-index

    1 publications

    16 citations

  8. North-West University

    Potchefstroom, South Africa

    1 h-index

    1 publications

    23 citations

1–8 of 20

Venues

  1. The Annals of Probability

    4 publications · 98 citations

    4

    h-index

  2. Advances in Applied Probability

    AAP · 2 publications · 61 citations

    2

    h-index

  3. Stochastics and stochastics reports

    1 publications · 61 citations

    1

    h-index

  4. Mathematical Finance

    1 publications · 83 citations

    1

    h-index

  5. SSRN Electronic Journal

    Repository · 1 publications · 29 citations

    1

    h-index

1–5