Examples.Probability
Class OptionalSamplingTest

java.lang.Object
  Examples.Probability.OptionalSamplingTest

public class OptionalSamplingTest

extends java.lang.Object

We set up a symmetric random walk X (a martingale) and check the Optional * Sampling Theorem (E(X_Tau)=X_0) for a hitting time Tau (the first exit time * from the interval [-20,20]). We then load the odds unfavourably to obtain a * supermartingale and check the Optional Sampling Theorem * (E(X_Tau)<=X_0) again.

* * @author Michael J. Meyer

Constructor Summary

OptionalSamplingTest()

Method Summary

static void

main(java.lang.String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OptionalSamplingTest

public OptionalSamplingTest()

Method Detail

main

public static void main(java.lang.String[] args)