Let X1, X2, be independent and such that ; P{X, -1} 1 1/2', P{X, 2 1}=1/2', i1.

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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

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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