6. a. Define martingale. Let X e6B-7) Show that Xi is a martingale with respect to...

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6. a. Define "martingale". Let X e6B-7) Show that Xi is a martingale with respect to F, the filtration associated with B.. [5] b. The following is the transition probability matrix of a process which has three states { 1, 2, 3}. Find the long-term probability of these states. 0.89 0.1 0.01 0.1 0.7 0.2 0.01 0.1 0.89 [5] *** 6. a. Define "martingale". Let X e6B-7) Show that Xi is a martingale with respect to F, the filtration associated with B.. [5] b. The following is the transition probability matrix of a process which has three states { 1, 2, 3}. Find the long-term probability of these states. 0.89 0.1 0.01 0.1 0.7 0.2 0.01 0.1 0.89 [5] ***

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