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A note on random times

Author

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  • Pitman, J. W.
  • Speed, T. P.

Abstract

A generalisation of the notion of stopping time is stated, and related to similar generalisations introduced by Bahadur, Kemperman, Siegmund and others with a view to permitting auxilliary experimentation to enter into the definition of stopping rule. The main aim of this note is to draw attention to the conditional independence implicit in the definitions of these writers, and briefly indicate some consequences of this.

Suggested Citation

  • Pitman, J. W. & Speed, T. P., 1973. "A note on random times," Stochastic Processes and their Applications, Elsevier, vol. 1(4), pages 369-374, October.
    • Handle: RePEc:eee:spapps:v:1:y:1973:i:4:p:369-374
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