Let (Y_{0}, Y_{1}, ldots) be a sequence of independent random variables with finite mean values. Show that

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Let $Y_{0}, Y_{1}, \ldots$ be a sequence of independent random variables with finite mean values. Show that the discrete-time stochastic process $\left\{X_{0}, X_{1}, \ldots\right\}$ generated by

\[X_{n}=\sum_{i=0}^{n}\left(Y_{i}-E\left(Y_{i}\right)\right)\]

is a martingale.

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Applied Probability And Stochastic Processes

ISBN: 9780367658496

2nd Edition

Authors: Frank Beichelt

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Question Posted: Apr 26, 2024 04:01 PM

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Let (Y_{0}, Y_{1}, ldots) be a sequence of independent random variables with finite mean values. Show that

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Applied Probability And Stochastic Processes

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