=+35.6. Show that a submartingale X ,, can be represented as X ,, = Y ,, +

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=+35.6. Show that a submartingale X ,, can be represented as X ,, = Y ,, + Z ., where Y ,, is a martingale and 0 ≤ Z, < Z2 < . .. . Hint: Take X = 0 and A, = X, - X1 -1, and define Z ,, = " _, E[4,||9 ,- 1] (Fc -(0,0)).

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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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Question Posted: Sep 11, 2024 03:00 AM

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=+35.6. Show that a submartingale X ,, can be represented as X ,, = Y ,, + Z ., where Y ,, is a martingale and 0 Z, < Z2 < . .. . Hint: Take X = 0 and A, = X, - X1 -1, and define Z ,, = " _, E[4,||9...
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=+35.6. Show that a submartingale X ,, can be represented as X ,, = Y ,, +

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

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