=+35.9. Let X1, X2, . .. be a martingale, and assume that | X,(w)| and | X,(w)-

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=+35.9. Let X1, X2, . .. be a martingale, and assume that | X,(w)| and | X,(w)- X ,,- {()

are bounded by a constant independent of w and n. Let + be a stopping time with finite mean. Show that X, is integrable and that E[ X,] = E[X,].

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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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=+35.9. Let X1, X2, . .. be a martingale, and assume that | X,(w)| and | X,(w)-

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

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