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

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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