Exercise 13.2.5 Let { Sn n i=1 Xi , n 1 } be a random walk,

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Exercise 13.2.5 Let { Sn ≡n i=1 Xi , n ≥ 1 } be a random walk, where Xi are independent random variables with E[ Xi ] = 0 and Var[ Xi ] = σ2. Show that { S2 n

−

nσ2, n ≥ 1 } is a martingale.

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