Doob's Optional Stopping Theorem for Stopped Sigma-Algebra of Bounded Stopping Time/Discrete Time/Martingale

Theorem
Let $\struct {\Omega, \Sigma, \sequence {\FF_n}_{n \ge 0}, \Pr}$ be a filtered probability space.

Let $\sequence {X_n}_{n \ge 0}$ be an $\sequence {\FF_n}_{n \ge 0}$-martingale.

Let $S$ and $T$ be bounded stopping times with respect to $\sequence {\FF_n}_{n \ge 0}$ and $S \le T$.

Let $\FF_S$ be the stopped $\sigma$-algebra associated with $S$.

Let $X_T$ and $X_S$ be $X$ at the stopping times $T$ and $S$.

Then:


 * $\expect {X_T \mid \FF_S} = X_S$ almost surely.

Proof
From Adapted Stochastic Process is Martingale iff Supermartingale and Submartingale:


 * $\sequence {X_n}_{n \ge 0}$ is a $\sequence {\FF_n}_{n \ge 0}$-supermartingale and $\sequence {\FF_n}_{n \ge 0}$-submartingale.

From Doob's Optional Stopping Theorem for Stopped Sigma-Algebra of Bounded Stopping Time: Discrete Time: Supermartingale and Doob's Optional Stopping Theorem for Stopped Sigma-Algebra of Bounded Stopping Time: Discrete Time: Submartingale, we have:


 * $\expect {X_T \mid \FF_S} \le X_S$ almost surely and $\expect {X_t \mid \FF_S} \ge X_S$ almost surely

respectively.

So:


 * $\expect {X_T \mid \FF_S} = X_S$ almost surely.