Suppose that Z, n ≥ 1 is a martingale with respect to a family of increasing o-fields F, n 2 1. Let G₁, be another family of increasing o-fields such that 9, CF, Vn 2 1. Suppose that Z,, is also G-measurable. Prove that Z₁ is a martingale with respect to G₁, n 21.

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i) Suppose that Z₁, n ≥ 1 is a martingale with respect to a family of increasing o-fields F, n > 1.
Let G₁, be another family of increasing o-fields such that 9₁ C Fn, Vn> 1. Suppose that Z,, is also
Gn-measurable. Prove that Z₁ is a martingale with respect to G₁, n ≥ 1.
Transcribed Image Text:i) Suppose that Z₁, n ≥ 1 is a martingale with respect to a family of increasing o-fields F, n > 1. Let G₁, be another family of increasing o-fields such that 9₁ C Fn, Vn> 1. Suppose that Z,, is also Gn-measurable. Prove that Z₁ is a martingale with respect to G₁, n ≥ 1.
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