Question
Given a probability space (, F,P), consider a stochastic process {X}, adapted to filtration {Fe}. Assume that {X+}, is a supermartingale with respect to
Given a probability space (, F,P), consider a stochastic process {X}, adapted to filtration {Fe}. Assume that {X+}, is a supermartingale with respect to {F}, and E[X] = const. (constant expected value). Show that {X} must also be a martingale with respect to filtration {F}
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Artificial Intelligence Structures And Strategies For Complex Problem Solving
Authors: George Luger
6th Edition
0321545893, 9780321545893
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