646概率简单derivationshort
Predictable-Transform Martingale 1
题目
M_n = sum_(k=1)^n S_(k-1) * X_k, where X_k are iid symmetric ±1 and S_(k-1)=X_1+...+X_(k-1). Is (M_n) a martingale with respect to the natural filtration?
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