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Quantitative Finance · Glossary

What is Stopping time?

Definition 1.10 Quantitative Methods · Chapter 1 — Probability at Speed

A random time τ\tau with values in T∪{∞}\mathbb T \cup \{\infty\} is a stopping time if {τ≤t}∈Ft\{\tau \le t\} \in \mathcal F_t for every tt: whether it has occurred by tt is known at tt.

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