Suppose X = (Xn)nzo and Y = (Ym)no are two martingales on a probability space (0, F, P). Show that Zn = 3X, + 5Y,
Suppose X = (Xn)nzo and Y = (Ym)no are two martingales on a probability space (0, F, P). Show that Zn = 3X, + 5Y, satisfies the martingale property i.e. E[Zn| Fn-1] = Zn-1 for all n 2 0
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