Exercise 13.2.1 Let { X(t), t 0 } be a stochastic process with independent increments. Show
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Exercise 13.2.1 Let { X(t), t ≥ 0 } be a stochastic process with independent increments.
Show that { X(t), t ≥ 0 } is a martingale if E[ X(t)− X(s) ] = 0 for any s, t ≥ 0 and Prob[ X(0) = 0 ] = 1.
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Related Book For 
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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