14.4 Let Xn be in L1 and n = (X1, X2,...,Xn) its standard filtration. Suppose that we...
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14.4 Let Xn be in L1 and ℱn = σ(X1, X2,...,Xn) its standard filtration. Suppose that we have E[Xn+1] = aXn + bXn−1, for some
a, b ∈ (0, 1) with a + b = 1. Find α so that the process Zn = αXn + Xn−1 is a martingale with respect to ℱn.
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