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10. [10] Prove the following proposition: If a nonnegative local martingale X satisfies EXT = X0, then X is in fact a martingale over
10. [10] Prove the following proposition: If a nonnegative local martingale X satisfies EXT = X0, then X is in fact a martingale over [0,T]. (Of course, T = (0,).)
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Martingale is a stochastic process X Xt t0 such that f...
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Probability And Statistics
Authors: Morris H. DeGroot, Mark J. Schervish
4th Edition
9579701075, 321500466, 978-0176861117, 176861114, 978-0134995472, 978-0321500465
