Hi all!

I've got a problem with a question at the moment and i was wondering if you could clarify it? Thanks =)

Let = + be a random walk.

Suppose that > 0 such that where is the moment generating function of .

Show

The property of martingale:

so show that : =

Now

From that it becomes

Now the one thing i dont get is that the equation then becomes:

=

why from suddenly becomes ?

Any explainations would be great. Thank you.

=)