Question: Let Y be a random variable with E[Y] < (a) Show that the Mt defined by Mt = E[Y|It] Is a martingale. (b) Does
E[Y] < ∞
(a) Show that the Mt defined by
Mt = E[Y|It]
Is a martingale.
(b) Does this mean that every conditional expection is a martingale given the increasing sequence of information sets {T0 ≤ . . . It ≤ I t + I . . .}
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