Generalized Wald equations in discrete time

Let S = {Sn, n [greater-or-equal, slanted] 1} be a martingale. Expectations of mth order quantities associated with S are related by two forms of Wald-type identity, called Generalized Wald equations. The previously known sufficient conditions for the validity of Wald equations are shown to be of a set of three equivalent conditions, each of which is necessary as well as sufficient for the validity of both types of Generalized Wald Equation.

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Year of publication:	1974
Authors:	Brown, B. M.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 2.1974, 4, p. 349-357
Publisher:	Elsevier
Subject:	martingale stopping time Wald equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875190