Let X1, X2, be independent and such that ; P{X, -1} 1 1/2', P{X, 2 1}=1/2', i1.
Question:
Let X1, X2, be independent and such that ; P{X, -1} 1 1/2', P{X, 2 1}=1/2', i1. Use this sequence to construct a zero mean martingale Z, such that lim, Z = - with probability 1 (Hint Make use of the Borel- Cantelli lemma.) A continuous-time process {X(t), t 0} is said to be a martingale if E[|X(t)] for all t and, for all s
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: