=+35.5. Suppose that X1, X2 ,... is a martingale satisfying E[ X]]=0 and E[ X2] <00. Show

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=+35.5. Suppose that X1, X2 ,... is a martingale satisfying E[ X]]=0 and E[ X2] <00.

Show that E[( X ,.,, - X,)2] = EL _, E[(X ,, ++ -X .. +-1)2] (the variance of the

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

ISBN: 9788126517718

3rd Edition

Authors: Patrick Billingsley

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=+35.5. Suppose that X1, X2 ,... is a martingale satisfying E[ X]]=0 and E[ X2] <00. Show that E[( X ,.,, - X,)2] = EL _, E[(X ,, ++ -X .. +-1)2] (the variance of the
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=+35.5. Suppose that X1, X2 ,... is a martingale satisfying E[ X]]=0 and E[ X2] <00. Show

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

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