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Please answer any or as much as you can. Thank you. 1. Let (Xn)n be a martingale such that there exists K which satisfies P(Xn

Please answer any or as much as you can. Thank you.

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1. Let (Xn)n be a martingale such that there exists K which satisfies P(Xn 4: Xn-3 = 0, Xn-2 = 1, Xn-1 = 0, Xn = 1}. (a) Show that T is a stopping time with respect to the natural filtration. (b) Prove that E[TP]

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