Hello,
What is Bn ?
And please please please, use the LaTeX... Not sure : is Xn+1/Xn the random variable Xn+1 conditioned on Xn ?
(Xn, Bn)n>=0 is a martingale. Xn+1/Xn belong to L'. Prove that E(Xn+1/Xn) = 1.
I know that I have to use Conditional expectation theory here, but i dont know how to proceed, though it looks to be a simple problem. If anyone know how to prove, please post the solution
Thanks
that's just the question. please note that my question says that it belongs to the integrable space L'
I think the property that Xn is a sub σ-algebra of the filtration Bn must be used,then the answer is immediate. But I amnot sure.
Any i/p is appreciated.
Thanks in advance.