Looks like it's the same as last year : I can't wait for the next class to solve a problem ^^'
We've studied martingales for only 3 hours already, so I'm still very new to it.
So we have a sequence of iid rv's such that and
Let ... and
Let's consider the filtration
I have to show that is a positive martingale.
3 points to show :
1/ is -measurable
2/ is integrable
Point 1/ is okay.
Point 2/ is okay.
Point 3/ is totally unknown Which method to use ?
Thanks for any help/hints