StoppedProcess
StoppedProcess represents the discrete process stopped at a stopping time \(T\):
\[X_n^T=X_{n\wedge T}.\]
Constructor
StoppedProcess(process, stopping_time)
Properties
| Property | Meaning |
|---|---|
process |
Original process. |
stopping_time |
Stopping time used for the construction. |
n_steps |
Number of represented time levels. |
Methods
values(n)— obtain the stopped value sequence through timen.sequence()— return the stopped process sequence.terminal_value()— return the terminal stopped value.
Example
M = Martingale(process, filtration)
T = StoppingTime(values, filtration)
MT = M.stopped(T)
print(MT.sequence())
print(MT.terminal_value())