Let X t , t = 0,1, ... , be a non-negative martingale, M t = max

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Let X_t , t = 0,1, ... , be a non-negative martingale, M_t = max_k≤t X_k. Show that for any t and x > 0,

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Probability And Stochastic Modeling

ISBN: 9781439872062

1st Edition

Authors: Vladimir I. Rotar

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Question Posted: Jan 11, 2024 09:01 AM

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Let X t , t = 0,1, ... , be a non-negative martingale, M t = max

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We follow the proof in Section 44 Let us fix t and 0 Let the event A M and the events Ak X1 ...View the full answer

Probability And Stochastic Modeling

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