Question
4. (10 points) Let (N, F, (Ft) t0, P) be a filtered probability space and let Z = L(F). Let X = E[Z|Ft]. Show
4. (10 points) Let (N, F, (Ft) t0, P) be a filtered probability space and let Z = L(F). Let X = E[Z|Ft]. Show that X is a uniformly integrable martingale with respect to the given filtration.
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Mathematical Methods For Financial Markets
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
1st Edition
144712524X, 978-1447125242
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