Hi !

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

where

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

3/

Point 1/ is okay.

Point 2/ is okay.

Point 3/ is totally unknown Which method to use ?

Thanks for any help/hints