Question: Exercise 13.2.1 Let { X(t), t 0 } be a stochastic process with independent increments. Show that { X(t), t 0 } is

Exercise 13.2.1 Let { X(t), t ≥ 0 } be a stochastic process with independent increments.

Show that { X(t), t ≥ 0 } is a martingale if E[ X(t)− X(s) ] = 0 for any s, t ≥ 0 and Prob[ X(0) = 0 ] = 1.

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