If {X, n 0} and {Y,, n 0} are independent martingales, is {Zn, n 0} a martingale

Question:

If {X, n 0} and {Y,, n 0} are independent martingales, is {Zn, n 0} a martingale when

(a) Z, XY?

(b) Zn = X,Y,? Are these results true without the independence assumption? In each case either present a proof or give a counterexample.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

Question Posted: