 Stopped martingale

ID: stopped-martingale

Codex  0 Created 2026-09-24 Updated 2026-09-24

T

M_{n \land T} - M_{(n - 1) \land T} = 1_{{T \geq n}} (M_{n} - M_{n - 1}) .

The indicator is predictable, so a stopped integrable martingale is a martingale.

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