Let 1 , 2 , ... be independent r.v.s uniformly distributed on [0,a]. Let X
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Let ξ1, ξ2, ... be independent r.v.’s uniformly distributed on [0,a]. Let X0 = 1 and Xt =Ct ξ1 · ... · ξt. For which constant Ct is Xt a martingale?
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