Question: 2.5.2 Let U1;U2; : : : be independent random variables each uniformly distributed over the interval .0; 1]. Show that X0 D 1 and Xn

2.5.2 Let U1;U2; : : : be independent random variables each uniformly distributed over the interval .0; 1]. Show that X0 D 1 and Xn D 2nU1 Un for n D 1;2; : : :

defines a martingale.

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