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5967概率中等数值题medium

Doubling Strategy and Optional Stopping Failure

题目

A gambler starts with 0netandmakesfair0 net and makes fair 1-doubling bets (bet 1, then 2, then 4, ...) on a sequence of fair coin flips, stopping the first time they win a single flip (guaranteeing +$1 net). Let T be that stopping time. Compute E[net wealth at T], and explain whether E[net at T] equals net at time 0 as naive optional stopping would suggest.

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你的答案

E[net wealth at T]