638概率中等derivationmedium
Normalized Product Process 3
题目
Let Y_1, Y_2, ... be iid positive random variables taking values [1, 4] with probabilities ['3/4', '1/4'], and let F_n = sigma(Y_1,...,Y_n). Define M_n = (Y_1...Y_n)/(7/4)^n. Is (M_n) a martingale?
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