Hi !

Okay, this one has been bugging (and p***ing) me...

We have iid rv's where and

Let and

So for , is a martingale (with the natural filtration)

Let be the stopped martingale, where (b is another positive integer)

Then I have to prove, using the convergence of , that .

And I don't know how to do it (I've been scrabbling on it, without finding a formal proof...).

Thanks for any hint...