2.5.4 Let 1; 2; : : : be independent Bernoulli random variables with parameter p;0 < p...

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2.5.4 Let 1; 2; : : : be independent Bernoulli random variables with parameter p;0 <

p < 1. Show that X0 D 1 and Xn D p????n1 n;n D 1, 2, : : :, defines a nonnegative martingale. What is the limit of Xn as n!1?

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An Introduction To Stochastic Modeling

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Authors: Mark A. Pinsky, Samuel Karlin

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2.5.4 Let 1; 2; : : : be independent Bernoulli random variables with parameter p;0 < p...

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An Introduction To Stochastic Modeling

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