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Prove Wald's equation: if 1, 2, , and if Sn = = are iid with E|X1| < and EX1 =1;, then for a stopping
Prove Wald's equation: if 1, 2, , and if Sn = = are iid with E|X1| < and EX1 =1;, then for a stopping time N with EN < , ESN = EN. Hint: first show E 1 || < . The proof of the optional stopping theorem might be helpful.
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An Introduction to Measure Theoretic Probability
Authors: George G. Roussas
2nd edition
128000422, 978-0128000427
