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 .
The property of martingale:
so show that : =
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.