Question: 5.3 Let So = 0, and for n ? 1, let S,, = s, + + s be the sum of n independent random variables,

5.3 Let So = 0, and for n ? 1, let S,, = s, + + s be the sum of n independent random variables, each exponentially distributed with mean E[e] = 1. Show that

defines a martingale.

X 2" exp(-S), n 0

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