8.3.7 Let t0 D 0 < t1 < t2 < be time points, and
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8.3.7 Let t0 D 0 < t1 < t2 < be time points, and define Xn D A.tn/, where A.t/ is absorbed Brownian motion starting from A.0/ D x. Show that fXng is a nonnegative martingale. Compare the maximal inequality (2.53) in Chapter 2 with the result in Problem 8.3.6.
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Related Book For 
An Introduction To Stochastic Modeling
ISBN: 9780233814162
4th Edition
Authors: Mark A. Pinsky, Samuel Karlin
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