Question: Let 1 , 2 , ... be i.i.d. r.v.s with a m.g.f. M(z), and S t = 1 + ... +

Let ξ1, ξ2, ... be i.i.d. r.v.’s with a m.g.f. M(z), and St = ξ1 + ... + ξt. Show that Xt = M−t (z)exp{zSt} is a martingale with respect to ξt.

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