1.*9. Prove that if {Y n, ,'j6n} is a martingale such that Y n E ,'j6n-l, then...
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1.*9. Prove that if {Y n, ,'j6n} is a martingale such that Y n E ,'j6n-l, then for every n, Y n = Y 1 a.e. Deduce from this result that Doob's decomposition (6)
is unique (up to equivalent r.v.'s) under the condition that Zn E 0?;;-1 for every n ::::: 2. If this condition is not imposed, find two different decompositions.
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