Let Sk kt 1 Yt, tN be a simple random walk process, where Y 2Z 1, Ry 1,1 , teN, Z, TEN) is an IID Bernoulli process, Z, BerlID(p, p(1 p)) Show that for p 5, Sk Y, teN) is a martingale process ...

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Let{Sk = kt=1 Yt, tN} be a simple random walk process, where Y = 2Z-1, Ry:={-1,1}, teN,

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Let{Sk = kt=1 Yt, t∈N} be a simple random walk process, where

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Probability Theory And Statistical Inference

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Authors: Aris Spanos

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Let{Sk = kt=1 Yt, tN} be a simple random walk process, where Y = 2Z-1, Ry:={-1,1}, teN,

Question:

Y = 2Z-1, Ry:={-1,1}, teN, {Z, TEN) is an IID Bernoulli process, Z, BerlID(p, p(1 - p)). Show that for p = .5, {Sk=Y, teN) is a martingale process.

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Probability Theory And Statistical Inference

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