Let 1 , 2 , ... be independent r.v.s uniformly distributed on [0,a]. Let X

Question:

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?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: