Show that every stochastic process ({X(t), t in mathbf{T}}) satisfying [E(|X(t)|)

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Show that every stochastic process $\{X(t), t \in \mathbf{T}\}$ satisfying

\[E(|X(t)|)<\infty, t \in \mathbf{T}\]

which has a constant trend function and independent increments, 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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Show that every stochastic process ({X(t), t in mathbf{T}}) satisfying [E(|X(t)|)

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Applied Probability And Stochastic Processes

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