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03.3. Suppose {Sm}n2o is a symmetric random walk, Xo > 0, µ > 0, and X, = XoeS, Vn = 1,2, ....

03.3. Suppose {Sm}n2o is a symmetric random walk, Xo > 0, µ > 0, and X, = XoeS, Vn = 1,2, ....

A First Course in Probability (10th Edition)
A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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03.3. Suppose {Sm}n2o is a symmetric random walk, Xo > 0, u > 0, and X, = XoeS, Vn = 1,2, ... %3! (a) Show that {X,} is a submartingale. (b) Calculate its Doob decomposition. (c) What should be the probability q of the up-move of the walk for the process {X,} to become a martingale?
Transcribed Image Text:03.3. Suppose {Sm}n2o is a symmetric random walk, Xo > 0, u > 0, and X, = XoeS, Vn = 1,2, ... %3! (a) Show that {X,} is a submartingale. (b) Calculate its Doob decomposition. (c) What should be the probability q of the up-move of the walk for the process {X,} to become a martingale?
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