A process {Z,, n 1} is said to be a reverse, or backwards, martingale if EZ, for

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A process {Z,, n 1} is said to be a reverse, or backwards, martingale if EZ, for all n and EZ Z+Z+2 ] = Z+1 Show that if X,,i>1, are independent and identically distributed random variables with finite expectation, then Z, = (X + + x)/n, n 1, is a reverse martingale.

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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