1. Other
  2. Other
  3. let m0 0 and m1 ...

Question: let m0 0 and m1 ...

Question details

Let M0 = 0 and M1, . . . , Mn be a martingale sequence with respect to a filtration F1, . . . , Fn, Suppose that B1, B2, . . . is a predictable sequence of random variables with respect to the given filtration: E[B_{j + 1} | F_j] = B_j j . Show that the sequence G_n = \sum_{j=1}^{n}B_j (M_j - M_{j-1}) is a martingale.

Solution by an expert tutor
Blurred Solution
This question has been solved
Subscribe to see this solution