Question: 8.1 Let X be an integrable random variable on (,A, P), and let {An} be an increasing sequence of sub -fields of A, and Xn

8.1 Let X be an integrable random variable on (Ω,A, P), and let {An} be an increasing sequence of sub σ-fields of A, and Xn = E(X|An). Then show that {Xn,An} is a martingale.

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