Let Sn D X1 C C Xn where the Xi are independent with EXi D 0 and var Xi D 2 (a) Show that S2 n n2 is a martingale (b) Let D min fn W jSnj ag Use Theorem 5 13 to show that E a2 2 For simple random wal...

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Let Sn D X1 C C Xn where the Xi are independent with EXi D 0 and var Xi D 2 (a) Show that S2 n n2 is a martingale (b) Let D min fn W jSnj ag Use Theorem 5 13 to show that E a2 2 For simple random walk 2 D 1 and we have equality ...

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Let Sn D X1 C C Xn where the Xi are independent with EXi

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Essentials Of Stochastic Processes