Answered: Suppose (Mt)t>o is a bounded… | bartleby

Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.5: Subspaces, Basis, Dimension, And Rank

Problem 10EQ

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Suppose (Mt)t>o is a bounded martingale.
(a) Show that for 0 < s <t
(b) Show that for 0 <a<b< s <t
E[M² – M²|M₂] = E[(Mt — M₂)²|M₂].
E[(M₁M₂) (Mt - Ma)] = 0.

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