Question: 2.5.3 Let S0 D 0, and for n 1, let Sn D 1 C Cn be the sum of n independent random variables,

2.5.3 Let S0 D 0, and for n  1, let Sn D "1 C  C"n be the sum of n independent random variables, each exponentially distributed with mean E["] D 1. Show that Xn D 2n exp.????Sn/; n  0 defines a martingale.

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